Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process

DOI10.1016/J.COR.2015.06.015MaRDI QIDQ342132zbMATH OpenOpenAlexFDO

Authors Daniel Wei-Chung Miao, Xenos Chang-Shuo Lin, Wan-Ling Chao

Publication date 17 November 2016

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2015.06.015

zbMATH Keywords

diffusion processCox processgeometric mean-reverting (GMR)Markov-modulated Poisson process (MMPP)Markovian queueing systemsmatrix geometric method

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)

Recommendations

• An Asymptotic Analysis of a Queueing System with Markov-Modulated Arrivals
• Heavy traffic analysis of \(\text{M/G/}1\) type queueing systems with Markov-modulated arrivals
• The Queue M|G|1 with Markov Modulated Arrivals and Services
• A unified method of analysis for queues with Markovian arrivals
• Markov-modulated finite-source queueing models and their applications

Cites work

• scientific article; zbMATH DE number 3114766 (Why is no real title available?)
• scientific article; zbMATH DE number 785435 (Why is no real title available?)
• A Cox process with log-normal intensity.
• A Framework Using Two-Factor Price Lattices for Generation Asset Valuation
• A fitting algorithm for Markov-modulated Poisson processes having two arrival rates
• A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
• Analysis of the discrete Ornstein-Uhlenbeck process caused by the tick size effect
• Dynamic staffing in a telephone call center aiming to immediately answer all calls
• Numerical Methods for Structured Markov Chains
• On Cox processes and credit risky securities
• On the exact analysis of a discrete-time queueing system with autoregressive inputs
• On the variances of system size and sojourn time in a discrete-time \(DAR(1)/D/1\) queue
• Short-Term Generation Asset Valuation: A Real Options Approach
• The Markov-modulated Poisson process (MMPP) cookbook
• The waiting time analysis of a discrete-time queue with arrivals as a discrete autoregressive process of order 1

Cited in

(2)

• Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
• Computational and numerical investigation of the batch Markovian arrival process subject to renewal generated geometric catastrophes

This page was built for publication: Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q342132)