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)

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Cites work

• A second-order Markov-modulated fluid queue with linear service rate
• Continuous-time monotone stochastic recursions and duality
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• scientific article; zbMATH DE number 994731 (Why is no real title available?)
• scientific article; zbMATH DE number 3126031 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• Linear stochastic fluid networks
• Markov-modulated linear fluid networks with Markov additive input
• Rate modulation in dams and ruin problems
• Second-Order Fluid Flow Models: Reflected Brownian Motion in a Random Environment
• Second-order stochastic fluid models with fluid-dependent flow rates
• Stability analysis of second-order fluid flow models in a stationary ergodic environment

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
• A stochastic differential game for optimal investment of an insurer with regime switching
• 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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