Hitting probabilities and hitting times for stochastic fluid flows

DOI10.1016/J.SPA.2005.04.002MaRDI QIDQ2567231zbMATH OpenOpenAlexWikidataFDO

Authors Nigel G. Bean, Małgorzata M. O'Reilly, P. G. Taylor

Publication date 29 September 2005

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

Full work available at URL https://doi.org/10.1016/j.spa.2005.04.002

zbMATH Keywords

Markovian fluid modelSojourn times

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites work

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Cited in

(43)

• Algorithms for the Laplace-Stieltjes transforms of first return times for stochastic fluid flows
• An IBNR-RBNS insurance risk model with marked Poisson arrivals
• Stochastic model for maintenance in continuously deteriorating systems
• Hitting times distribution and extreme value laws for semi-flows
• Stochastic fluid model with jumps: the bounded model
• RAP-modulated fluid processes: first passages and the stationary distribution
• On the risk of ruin in a SIS type epidemic
• A stochastic fluid model for an ad hoc mobile network
• Networks of interacting stochastic fluid models with infinite and finite buffers
• A class of complex nonsymmetric algebraic Riccati equations associated with H-matrix
• The analysis of cyclic stochastic fluid flows with time-varying transition rates
• A probabilistic approach to the stochastic fluid cash management balance problem
• A risk model based on Markov chains with marked transitions
• Two-Dimensional Fluid Queues with Temporary Assistance
• Multi-stage stochastic fluid models for congestion control
• Construction of algorithms for discrete-time quasi-birth-and-death processes through physical interpretation
• Volume and duration of losses in finite buffer fluid queues
• HITTING PROBABILITIES AND HITTING TIMES FOR STOCHASTIC FLUID FLOWS: THE BOUNDED MODEL
• Analyses of the Markov modulated fluid flow with one-sided ph-type jumps using coupled queues and the completed graphs
• The stochastic fluid-fluid model: a stochastic fluid model driven by an uncountable-state process, which is a stochastic fluid model itself
• Parisian types of ruin probabilities for a class of dependent risk-reserve processes
• On the generalized reward generator for stochastic fluid models: a new equation for \(\Psi\)
• Stationary distributions for a class of Markov-modulated tandem fluid queues
• ALGORITHMS FOR RETURN PROBABILITIES FOR STOCHASTIC FLUID FLOWS
• A stochastic two-dimensional fluid model
• Slowing time: Markov-modulated Brownian motions with a sticky boundary
• Transient analysis of fluid flow models via matrix decomposition
• Concomitants of order statistics from bivariate phase-type distributions with continuous density functions
• Ruin problems for epidemic insurance
• Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps
• Matrix-analytic methods for the analysis of stochastic fluid-fluid models
• Yaglom limit for stochastic fluid models
• A threshold policy in a Markov-modulated production system with server vacation: the case of continuous and batch supplies
• Extremes of Markov-additive processes with one-sided jumps, with queueing applications
• Maximum level and hitting probabilities in stochastic fluid flows using matrix differential Riccati equations
• Ruin problems for risk processes with dependent phase-type claims
• Finding an NARE whose minimal nonnegative solution represents first passage quantities in the two-dimensional Brownian motion
• The impact of the correlation coefficient of interarrival and service times on queueing performance: the M/M/1 case
• Simulation of N-dimensional second-order fluid models with different absorbing, reflecting and mixed barriers
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
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• Performance measures of a multi-layer Markovian fluid model
• The Erlangization method for Markovian fluid flows

Describes a project that uses

Uses Software

• Algorithm 432

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