RAP-modulated fluid processes: first passages and the stationary distribution

DOI10.1016/J.SPA.2022.03.013zbMATH Open1489.60128arXiv2101.03242OpenAlexW3119136857MaRDI QIDQ2137759FDOQ2137759

Authors: Nigel G. Bean, Giang T. Nguyen, Bo Friis Nielsen, Oscar Peralta 

Publication date: 16 May 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We construct a stochastic fluid process with an underlying piecewise deterministic Markov process (PDMP) akin to the one used in the construction of the rational arrival process (RAP), which we call the RAP-modulated fluid process. As opposed to the classic stochastic fluid process driven by a Markov jump process, the underlying PDMP of a RAP-modulated fluid process has a continuous state space and is driven by matrix parameters which may not be related to an intensity matrix. Through novel techniques we show how well-known formulae associated to the classic stochastic fluid process, such as first passage probabilities and the stationary distribution of its queue, translate to its RAP-modulated counterpart.

Full work available at URL: https://arxiv.org/abs/2101.03242

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zbMATH Keywords

stationary distributionfirst passage probabilitymatrix-exponential distributionstochastic fluid processrational arrival process

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Continuous-time Markov processes on general state spaces (60J25) Sample path properties (60G17) Jump processes on general state spaces (60J76)

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Cited In (4)

• From PH/MAP to ME/RAP
• On minimal representations of rational arrival processes
• A Markov jump process associated with the matrix-exponential distribution
• A series expansion formula of the scale matrix with applications in CUSUM analysis

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