Approximations for time-dependent distributions in Markovian fluid models

DOI10.1007/S11009-016-9480-0MaRDI QIDQ518871zbMATH OpenOpenAlexFDO

Authors S. Dendievel, Guy Latouche

Publication date 30 March 2017

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.4989

zbMATH Keywords

Erlang approximationsMarkovian fluid modeltime-dependent distributions

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Continuous-time Markov processes on general state spaces (60J25)

Abstract: In this paper we study the distribution of the level at time $heta$ of Markovian fluid queues and Markovian continuous time random walks, the maximum (and minimum) level over $[0,heta]$, and their joint distributions. We approximate $heta$ by a random variable $T$ with Erlang distribution and we use an alternative way, with respect to the usual Laplace transform approach, to compute the distributions. We present probabilistic interpretation of the equations and provide a numerical illustration.

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Cited in

(17)

• Analyses of the Markov modulated fluid flow with one-sided ph-type jumps using coupled queues and the completed graphs
• HITTING PROBABILITIES AND HITTING TIMES FOR STOCHASTIC FLUID FLOWS: THE BOUNDED MODEL
• Random walk, birth-and-death process and their fluid approximations: Absorbing case
• Fluid computation of passage-time distributions in large Markov models
• Computing the exponential of large block-triangular block-Toeplitz matrices encountered in fluid queues
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
• The Erlangization method for Markovian fluid flows
• Finding the conjugate of Markov fluid processes
• RAP-modulated fluid processes: first passages and the stationary distribution
• On barrier option pricing by Erlangization in a regime-switching model with jumps
• EXACT RESULTS FOR A FLUID MODEL WITH STATE-DEPENDENT FLOW RATES
• Erlangian Approximations for the Transient Analysis of a Fluid Queue Model for Forest Fire Perimeter
• Fast simulation of Markov fluid models
• Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes
• Transient and first passage time distributions of first- and second-order multi-regime Markov fluid queues via ME-fication
• Computing absorbing times via fluid approximations
• On the exponential of semi-infinite quasi-Toeplitz matrices

Describes a project that uses

Uses Software

• Matlab

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