Matrix-analytic methods for the analysis of stochastic fluid-fluid models

DOI10.1080/15326349.2022.2049823MaRDI QIDQ5090306zbMATH OpenOpenAlexFDO

Authors Nigel G. Bean, Małgorzata M. O'Reilly, Zbigniew Palmowski

Publication date 18 July 2022

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.13077

zbMATH Keywords

Laplace-Stieltjes transformMarkov chainstationary analysisstochastic fluid modelstochastic fluid-fluid modeltransient analysis

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Continuous-time Markov processes on discrete state spaces (60J27) Queues and service in operations research (90B22)

Abstract: Stochastic fluid-fluid models (SFFMs) offer powerful modeling ability for a wide range of real-life systems of significance. The existing theoretical framework for this class of models is in terms of operator-analytic methods. For the first time, we establish matrix-analytic methods for the efficient analysis of SFFMs. We illustrate the theory with numerical examples.

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Cited in

(9)

• The analysis of cyclic stochastic fluid flows with time-varying transition rates
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• Yaglom limit for stochastic fluid models
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