On the generalized reward generator for stochastic fluid models: a new equation for

DOI10.1080/15326349.2017.1347883MaRDI QIDQ4603846zbMATH OpenOpenAlexFDO

Authors Małgorzata M. O'Reilly, Nigel G. Bean, Aviva Samuelson

Publication date 19 February 2018

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2017.1347883

zbMATH Keywords

generalized reward generatorLaplace-Stieltjes transformsmatrix-analytic methodsstochastic fluid models

Mathematics Subject Classification ID

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

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Cites work

• A stochastic two-dimensional fluid model
• A unified framework for numerically inverting Laplace transforms
• ALGORITHMS FOR RETURN PROBABILITIES FOR STOCHASTIC FLUID FLOWS
• Algorithms for the Laplace-Stieltjes transforms of first return times for stochastic fluid flows
• Efficient algorithms for transient analysis of stochastic fluid flow models
• Fluid Flow Models and Queues—A Connection by Stochastic Coupling
• Hitting probabilities and hitting times for stochastic fluid flows
• HITTING PROBABILITIES AND HITTING TIMES FOR STOCHASTIC FLUID FLOWS: THE BOUNDED MODEL
• Multi-stage stochastic fluid models for congestion control
• Nonsymmetric algebraic Riccati equations and Wiener-Hopf factorization for M-matrices
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Passage times in fluid models with application to risk processes
• Risk processes analyzed as fluid queues
• Specification techniques for Markov reward models
• Stationary distributions for fluid flow models with or without brownian noise
• STOCHASTIC DISCRETIZATION FOR THE LONG-RUN AVERAGE REWARD IN FLUID MODELS
• Transient Analysis of Fluid Flow Models via Stochastic Coupling to a Queue
• Volume and duration of losses in finite buffer fluid queues

Cited in

(5)

• Construction of algorithms for discrete-time quasi-birth-and-death processes through physical interpretation
• Stationary distributions for a class of Markov-modulated tandem fluid queues
• Matrix-analytic methods for the analysis of stochastic fluid-fluid models
• Finding an NARE whose minimal nonnegative solution represents first passage quantities in the two-dimensional Brownian motion
• Finding an NARE whose minimal nonnegative solution represents first-passage increments in two-dimensional Markov modulated Brownian motion

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