Journal
ADVANCES IN APPLIED PROBABILITY
Volume 32, Issue 2, Pages 376-393Publisher
APPLIED PROBABILITY TRUST
DOI: 10.1017/S0001867800009988
Keywords
Levy process; EOQ model; fluid queues; Markov modulation; multivariate martingale; reflected Brownian motion; storage process
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We establish new multidimensional martingales for Markov additive processes and certain modifications of such processes (e.g., such processes with reflecting barriers). These results generalize corresponding one-dimensional martingale results for Levy processes. This martingale is then applied to various storage processes, queues and Brownian motion models.
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