Yaglom limit for Stochastic Fluid Models

DOI10.1017/APR.2020.71zbMATH Open1522.60063arXiv1908.10827MaRDI QIDQ6324342FDOQ6324342

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

Publication date: 28 August 2019

Abstract: In this paper we provide the analysis of the limiting conditional distribution (Yaglom limit) for stochastic fluid models (SFMs), a key class of models in the theory of matrix-analytic methods. So far, transient and stationary analyses of the SFMs have been only considered in the literature. The limiting conditional distribution gives useful insights into what happens when the process has been evolving for a long time, given its busy period has not ended yet. We derive expressions for the Yaglom limit in terms of the singularity $s^{*}$ such that the key matrix of the SFM, $$, is finite (exists) for all $sgeq{s}^{*}$ and infinite for $s<s^{*}$. We show the uniqueness of the Yaglom limit and illustrate the application of the theory with simple examples.

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Continuous-time Markov processes on discrete state spaces (60J27) Stochastic analysis applied to problems in fluid mechanics (76M35)

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