A reflected diffusion process in a regime-switching environment

Authors:
Bong-Gyu Jang;Gyoocheol Shim
Affiliations:
Financial Supervisory Service, Republic of Korea;School of Business Administration, Myongji University, Seoul 120-728, Republic of Korea
Venue:
Operations Research Letters
Year:
2008

Citing 1
Cited 1

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A note on stability in distribution of Markov-modulated stochastic differential equations with reflection

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Abstract

This paper provides steady-state analysis of a reflected diffusion process governed by a regime-switching environment. We characterize differential equations satisfied by the limiting densities for overlapped and non-overlapped cases of reflecting boundary positions. Also we provide closed-form solutions for some specific cases and propose numerical methods for general cases.