STATIONARY MARKOVIAN ARRIVAL PROCESSES: RESULTS AND OPEN PROBLEMS

DOI10.1017/S1446181122000013MaRDI QIDQ5086069zbMATH OpenOpenAlexFDO

Authors Yoni Nazarathy, Azam Asanjarani

Publication date 1 July 2022

Published in The ANZIAM Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/1905.01736

zbMATH Keywords

over-dispersionburstystationary processhazard rateMarkovian arrival processsquared coefficient of variationMarkov-modulated Poisson processinterarrival timesMarkov-switched Poisson process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Abstract: We consider two classes of irreducible Markovian arrival processes specified by the matrices $C$ and $D$. The Markov Modulated Poison Process (MMPP) and the Markovian Switched Poison Process (MSPP). The former exhibits a diagonal $D$ while the latter exhibits a diagonal $C$. For these two classes, we consider the following statements: (I) Overdispersion of the counts process. (II) A non-increasing hazard rate of the stationary inter-event time. (III) The squared coefficient of variation of the event stationary process is greater or equal to unity. (IV) A stochastic order showing that the time stationary inter-arrival time dominates the event-stationary time. For general MSPPs and two-state MMPPs, we show that (I)-(IV) hold. Then for general MMPPs, it is easy to establish (I), while (II) is false due to a counter-example of Miklos Telek and Illes Horvath. For general simple point processes, (III) follows from (IV). For MMPPs we conjecture and numerically test that (IV) and thus (III) hold. Importantly, modeling folklore has often treated MMPPs as ``bursty and implicitly assumed that (III) holds. However, this is still an open question.

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Cited in

(10)

• scientific article; zbMATH DE number 879780 (Why is no real title available?)
• Renewal characterization of Markov modulated Poisson processes
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