Approximations for time-dependent distributions in Markovian fluid models

DOI10.1007/S11009-016-9480-0zbMATH Open1360.60145arXiv1409.4989OpenAlexW1549780298MaRDI QIDQ518871FDOQ518871

Authors: S. Dendievel, Guy Latouche 

Publication date: 30 March 2017

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

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.

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

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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)

Cites Work

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Cited In (17)

• HITTING PROBABILITIES AND HITTING TIMES FOR STOCHASTIC FLUID FLOWS: THE BOUNDED MODEL
• Analyses of the Markov modulated fluid flow with one-sided ph-type jumps using coupled queues and the completed graphs
• 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

Uses Software

• Matlab

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