Perturbation analysis of Markov modulated fluid models

DOI10.1080/15326349.2017.1302803MaRDI QIDQ4603845zbMATH OpenOpenAlexFDO

Authors Guy Latouche, S. Dendievel

Publication date 19 February 2018

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1702.02427

zbMATH Keywords

first return probabilitiesMarkov modulated fluid modelsperturbation analysis

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Queueing theory (aspects of probability theory) (60K25) Probability in computer science (algorithm analysis, random structures, phase transitions, etc.) (68Q87)

Abstract: We consider perturbations of positive recurrent Markov modulated fluid models. In addition to the infinitesimal generator of the phases, we also perturb the rate matrix, and analyze the effect of those perturbations on the matrix of first return probabilities to the initial level. Our main contribution is the construction of a substitute for the matrix of first return probabilities, which enables us to analyze the effect of the perturbation under consideration.

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Cited in

(5)

• Sparse feature map-based Markov models for nonlinear fluid flows
• A probabilistic approach to the stochastic fluid cash management balance problem
• Markov-modulated linear fluid networks with Markov additive input
• Asymptotic analysis of a fluid model modulated by an M/M/1 queue
• Singularly perturbed Markov modulated fluid queues

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