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摘要
In this paper we analyse Markov-modulated fluid processes over finite time intervals. We study the joint distribution of the level at time theta < infinity and of the maximum level over [0, theta], as well as the joint distribution of the level at time theta and the minimum level over [0, theta]. We approximate theta by a random variable T with Erlang distribution and so use an approach different from the usual Laplace transform to compute the distributions. We present probabilistic interpretation of the equations and provide a numerical illustration.
- 出版日期2017-3
