Phase-type representations in random walk and queueing problems (Q1196939): Difference between revisions

A fundamental problem for a random walk is to compute quantities like the ladder height distributions and the distribution of the maximum. The author approaches these problems in a special way. The idea is to restrict the discussion to phase-type distributions [see \textit{M. F. Neuts}, Matrix-geometric solutions in stochastic models. An algorithmic approach (1981; Zbl 0469.60002)]. Within this setting, he obtains a solution of the random walk problems which is transform-free, avoids complex numbers and has the appealing feature that many of the basic unknown distributions turn out to be again of phase-type.