A second-order Markov-modulated fluid queue with linear service rate

DOI10.1239/JAP/1091543424MaRDI QIDQ4667999zbMATH OpenOpenAlexFDO

Authors Landy Rabehasaina, Bruno Sericola

Publication date 18 April 2005

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/4b3d1eb09b11a72c0cee8448674ec8833624e3dd

zbMATH Keywords

moments

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Queueing theory (aspects of probability theory) (60K25) Inventory, storage, reservoirs (90B05)

Review text

The paper considers an infinite-capacity fluid queue, the level \(Q(t)\) of which satisfies the following stochastic differential equation: \[ dQ(t) = \lambda (X(t))dt - \mu (X(t))Q(t)dt + \sigma (X(t))Q(t)dB(t), \] where \(X(t)\) is an external environment stochastic process and \(B(t)\) is a Brownian motion. It studies the transient level's convergence in distribution and obtains an expression for the stationary queue level. For the first order case, the paper gives a simple expression of all moments of the level as well as of its Laplace transform. For the second-order model the first two moments are computed.

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Cites work

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Cited in

(11)

• On optimal proportional reinsurance and investment in a Markovian regime-switching economy
• Exact and approximate hidden Markov chain filters based on discrete observations
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• Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
• Moments of a Markov-modulated, irreducible network of fluid queues
• A fluid queue with perturbation
• Analytic value function for optimal regime-switching pairs trading rules
• First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications
• A second-order Markov-modulated fluid queue with linear service rate
• Transient Analysis of Averaged Queue Length in Markovian Queues
• A second-order fluid queue with subordinator input and Markov-modulated linear output

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