Abstract
Consider a storage model fed by a Markov modulated Brownian motion. We prove that the stationary distribution of the model exits and that the running maximum of the storage process over the interval [0, t] grows asymptotically like log t as t→∞.
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Supported by the National Natural Science Foundation of China (No. 10131040).
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Xing, Xy., Wang, Xq. On the asymptotic behavior of the storage process fed by a Markov modulated Brownian motion. Acta Math. Appl. Sin. Engl. Ser. 24, 75–84 (2008). https://doi.org/10.1007/s10255-006-6030-5
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DOI: https://doi.org/10.1007/s10255-006-6030-5