A first passage problem and its applications to the analysis of a class of stochastic models (Q1186526): Difference between revisions
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scientific article
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English | A first passage problem and its applications to the analysis of a class of stochastic models |
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A first passage problem and its applications to the analysis of a class of stochastic models (English)
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28 June 1992
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Summary: A problem of the first passage of a cumulative random process with generally distributed discrete or continuous increments over a fixed level is considered in the article as an essential part of the analysis of a class of stochastic models (bulk queueing systems, inventory control and dam models). Using direct probability methods the authors find various characteristics of this problem: the magnitude of the first excess of the process over a fixed level, the shortage before the first excess, the levels of the first and prefirst excesses, the index of the first excess and others. The results obtained are illustrated by a number of numerical examples and then are applied to a bulk queueing system with a service delay discipline.
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first passage problem
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fluctuation theory
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inventory control
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dam models
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bulk queueing system
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