A continuous-time Markov chain under the influence of a regulating point process and applications in stochastic models with catastrophes (Q1399606): Difference between revisions
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Revision as of 04:13, 5 March 2024
scientific article
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English | A continuous-time Markov chain under the influence of a regulating point process and applications in stochastic models with catastrophes |
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A continuous-time Markov chain under the influence of a regulating point process and applications in stochastic models with catastrophes (English)
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30 July 2003
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A continuous time Markov process with discrete state space \(S\) is modified by introducing additional jumps. They occur at time instants \(t_i\) and result in state \(A(t_i)\), \(i=1,2,\dots\), where \(A : [0,\infty)\to S\) is a given piecewise constant function. The time instants \(t_i\) may be random, i.e. be given by a point process \(X\) on \([0,\infty)\). It seems that the authors presume that the sequence has a.s. no finite accumulation points. They discuss several special cases, where the transition probabilities of the modified process can be determined more or less explicitly, for instance the case where \(X\) is a renewal process with special life time distributions, the case where the original Markov process is time homogeneous, is a birth-death process, or is the queueing process in a Markovian setup. Numerical results on the transient behavior of the modified process in some special examples are added.
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stochastic processes
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continuous time Markov chain
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regulating point process
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renewal process
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transient distribution
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stationary distribution
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catastrophes
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queueing process
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