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20122023
most citedComponentwise accurate fluid queue computations using doubling algorithms

14 citations · 29 across the 15 of their papers we have counts for

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Showing 2016Show all

2 papers · 1 filter

math.PR2016★ 6 cited

Componentwise accurate Brownian motion computations using Cyclic Reduction

Giang T. Nguyen, Federico Poloni

Markov-modulated Brownian motion is a popular tool to model continuous-time phenomena in a stochastic context. The main quantity of interest is the invariant density, which satisfi…

math.PR2016

Feedback control: two-sided Markov-modulated Brownian motion with instantaneous change of phase at boundaries

Guy Latouche, Giang T. Nguyen

We consider a Markov-modulated Brownian motion with two boundaries at and , and allow for the controlling Markov chain to instantaneously und…