Busy period analysis, rare events and transient behavior in fluid flow models (Q1344648): Difference between revisions
From MaRDI portal
Created claim: Wikidata QID (P12): Q21147004, #quickstatements; #temporary_batch_1706339005099 |
Set OpenAlex properties. |
||
(4 intermediate revisions by 3 users not shown) | |||
Property / author | |||
Property / author: Soren Asmussen / rank | |||
Property / reviewed by | |||
Property / reviewed by: Hans Daduna / rank | |||
Property / author | |||
Property / author: Soren Asmussen / rank | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Hans Daduna / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2127329834 / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 09:50, 30 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Busy period analysis, rare events and transient behavior in fluid flow models |
scientific article |
Statements
Busy period analysis, rare events and transient behavior in fluid flow models (English)
0 references
14 November 1995
0 references
A fluid process \((V_t : t \geq 0)\) with piecewise continuous paths and reflection at 0 is considered where the slopes of the paths are governed by a finite state space Markov process \((J_t : t \geq 0)\). A busy period of type \(i\) starts form \(V_0 = 0\), \(J_0 = i\) and ends when \(V\) returns to 0 the first time thereafter. The first result is a set of linear equations for the mean value of a busy period of type \(i\) in terms of the steady state quantities. Its distribution is given via Laplace transform. The main topic of the paper is to compute approximations and bounds for transient probabilities of the process. E.g., the cycle maximum is shown to have exponential tails, a central limit estimate for large deviation probabilities is given, the rate of convergence to the steady-state is computed, and an approximation for the time until reaching equilibrium. Applications to quick simulations of rare events are shown.
0 references
Markov additive process
0 references
change of measure
0 references
conditional limit theorem
0 references
first passage time
0 references
likelihood ratio identity
0 references
central limit estimate for large deviation probabilities
0 references
quick simulations of rare events
0 references