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Markov-Modulated Brownian Motion: The Matrix-Analytic Perspective

Markov-Modulated Brownian Motion: The Matrix-Analytic Perspective

Hardcover

Series: Springer Operations Research and Financial Engineering

Probability & Statistics

PREORDER - Expected ship date January 7, 2026

ISBN10: 3031985753
ISBN13: 9783031985751
Publisher: Springer
Published: Jan 7 2026
Pages: 203
Language: English
This book explores regime-switching Brownian motion, a class of stochastic processes widely used in fields such as mathematical finance, risk theory, queueing theory, and epidemiological modeling. These processes are studied within the Markovian regime-switching framework, which captures dynamic environments characterized by shifts between different states or regimes--for example, economic cycles, seasonal environmental variations, or short-term surges in activity.

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Latouche, Guy

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Probability & Statistics