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

DOI10.1016/J.SPA.2022.03.013MaRDI QIDQ2137759zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cited in

(4)

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

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