Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Queueing theory (aspects of probability theory) (60K25) Markov renewal processes, semi-Markov processes (60K15)

Cited In (only showing first 100 items - show all)

Markov-modulated Brownian motions perturbed by catastrophes
Volume and duration of losses in finite buffer fluid queues
A Markovian storage model
Solvability and different solutions of the operator equation \(XAX=BX\)
Invariant Measures for Fluid Queues
The Unified Frame of Alternating Direction Method of Multipliers for Three Classes of Matrix Equations Arising in Control Theory
Randomization and the valuation of guaranteed minimum death benefits
Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
Occupation times for Markov-modulated Brownian motion
Markov-modulated Brownian motion with temporary change of regime at level zero
On some Krylov subspace based methods for large-scale nonsymmetric algebraic Riccati problems
Strong convergence to two-dimensional alternating Brownian motion processes
An IBNR-RBNS insurance risk model with marked Poisson arrivals
A note on martingale inequalities for fluid models
Modified alternately linearized implicit iteration method for M-matrix algebraic Riccati equations
Matrix equations in Markov modulated Brownian motion: theoretical properties and numerical solution
A generalized ALI iteration method for nonsymmetric algebraic Riccati equations
Entrance laws at the origin of self-similar Markov processes in high dimensions
A self-exciting switching jump diffusion: properties, calibration and hitting time
Transient Analysis of Fluid Flow Models via Matrix Decomposition
Catalan generating functions for bounded operators
Pricing and hedging barrier options in a hyper-exponential additive model
RAP-modulated fluid processes: first passages and the stationary distribution
On barrier option pricing by Erlangization in a regime-switching model with jumps
Slowing time: Markov-modulated Brownian motions with a sticky boundary
Accurate numerical solution for structured \(M\)-matrix algebraic Riccati equations
About a fixed‐point‐type transformation to solve quadratic matrix equations using the Krasnoselskij method
Structural pricing of CoCos and deposit insurance with regime switching and jumps
On a class of dependent Sparre Andersen risk models and a bailout application
Double-sided queues with marked Markovian arrival processes and abandonment
Perturbation analysis of Markov modulated fluid models
Markov additive friendships
Hoeffding's inequality for Markov processes via solution of Poisson's equation
Solving Multi-Regime Feedback Fluid Queues
Monotone Stochastic Recursions and their Duals
Finding an NARE whose minimal nonnegative solution represents first passage quantities in the two-dimensional Brownian motion
Some results on the telegraph process driven by gamma components
An efficient predictor-corrector iterative scheme for solving Wiener-Hopf problems
Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility
Solving Wiener-Hopf problems via an efficient iterative scheme
Matrix-analytic solution of infinite, finite and level-dependent second-order fluid models
An improvement of the Newton method for solving symmetric algebraic Riccati equations
Weight splitting iteration methods to solve quadratic nonlinear matrix equation \(MY^2+NY+P=0\)
Multiclass Markovian fluid queues
Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains
Convergence of relaxed Newton method for order-convex matrix equations
Ladder height distributions with marks
Title not available (Why is that?)
First-passage times of regime switching models
On the Hermitian and skew-Hermitian splitting-like iteration approach for solving complex continuous-time algebraic Riccati matrix equation
A note on the minimal nonnegative solution of a nonsymmetric algebraic Riccati equation
The analysis of cyclic stochastic fluid flows with time-varying transition rates
HITTING PROBABILITIES AND HITTING TIMES FOR STOCHASTIC FLUID FLOWS: THE BOUNDED MODEL
Exit Problems for Reflected Markov-Modulated Brownian Motion
Second-order fluid models with general boundary behaviour
Efficient algorithms for transient analysis of stochastic fluid flow models
Compliance of the Token-Bucket Model with Markovian Traffic
Pricing exotic options in a regime switching economy: a Fourier transform method
A stochastic fluid model for an ad hoc mobile network
Networks of interacting stochastic fluid models with infinite and finite buffers
Pricing and hedging defaultable participating contracts with regime switching and jump risk
Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
Iterative and doubling algorithms for Riccati‐type matrix equations: A comparative introduction
Markov modulation of a two-sided reflected Brownian motion with application to fluid queues
Occupation densities in solving exit problems for Markov additive processes and their reflections
Transient Analysis of Fluid Models via Elementary Level-Crossing Arguments
Risk processes analyzed as fluid queues
Approximations for time-dependent distributions in Markovian fluid models
Infinite- and finite-buffer Markov fluid queues: a unified analysis
Singularly Perturbed Markov Modulated Fluid Queues
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Numerical methods for a quadratic matrix equation with a nonsingular M-matrix
Componentwise accurate fluid queue computations using doubling algorithms
On perpetual American put valuation and first-passage in a regime-switching model with jumps
A new class of nonsymmetric algebraic Riccati equations
Convergence of the solution of a nonsymmetric matrix Riccati differential equation to its stable equilibrium solution
The tax identity for Markov additive risk processes
Extremes of Markov-additive processes with one-sided jumps, with queueing applications
Nonsymmetric Algebraic Riccati Equations under the Tensor Product
A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion
On the solution of algebraic Riccati equations arising in fluid queues
A feedback fluid queue with two congestion control thresholds
Markov-renewal fluid queues
\(V\)-uniform ergodicity for fluid queues
Total shift during the first passages of Markov-modulated Brownian motion with bilateral ph-type jumps: Formulas driven by the minimal solution matrix of a Riccati equation
Performance measures of a multi-layer Markovian fluid model
A note on Wiener-Hopf factorization for Markov additive processes
Fluid queues with level dependent evolution
First passage of time-reversible spectrally negative Markov additive processes
Hitting probabilities and hitting times for stochastic fluid flows
Accurate solutions of \(M\)-matrix algebraic Riccati equations
Stationary analysis of a fluid queue driven by some countable state space Markov chain
A structure-preserving doubling algorithm for nonsymmetric algebraic Riccati equation
Block-Structured Fluid Queues Driven by QBD Processes
Two-Dimensional Fluid Queues with Temporary Assistance
Singularities of the matrix exponent of a Markov additive process with one-sided jumps
A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process
A make-to-stock mountain-type inventory model
Two-Sided Reflection of Markov-Modulated Brownian Motion
On applications of Schauder's fixed-point theorem for the solution of the non-symmetric algebraic Riccati equation

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