Stochastic models of systems
This text considers general random systems evolving in a random medium and puts special emphasis on the question how these systems (which may be a priori very large and involve a huge number of parameters) may be simplified such that probability theory becomes applicable to the description of the random system. The authors restrict themselves to the treatment of Markovian models of the random medium in order to avoid complications. The random system is hence determined by two processes: a switched one that describes the evolution of the system and a switching one that describes the medium. The simplification of the system is achieved by a so-called phase merging algorithm which is obtained from the Markov process by restricting it to the set of equivalence classes with respect to a suited equivalence relation on the phase space. After an elementary explanation of the approach and an introduction to renewal processes in Chapter~1, the theory of Markov renewal processes and Markov jump processes is presented in Chapter~2, including regenerative processes and aspects of ergodicity. It is assumed that the processes take values in an arbitrary measurable space whose singletons are measurable. Phase merging algorithms are considered in Chapter~3, after an introduction to reducible-invertible operators, and the martingale characterization of Markov processes. In Chapter~4, the random evolution of ergodic Markov processes is treated, and diffusion approximation results and ergodic theorems are discussed. Finally, Chapter~5 specializes to the cases of Markov queueing systems and networks and presents algorithms of diffusion approximation in these cases. The emphasis is made on developing the mathematical framework for the models such that their simplification by phase merging and diffusion approximation may be embedded in the theory of stochastic processes. Hence, the proofs for limit assertions for long time or diffusion approximation are short since they may be cited from the theory. The explanations are elementary and easy to follow, complicated technicalities are absent. The reference list contains 20 items only, half of them being written in Russian.
- Queuing system evolution in a diffusion approximation scheme
- Average and diffusion approximation of stochastic evolutionary systems in an asymptotic split state space
- Reward algorithms for semi-Markov processes
- Interaction of particles governed by generalized integrated telegraph processes
- Stochastic models of chaotic systems
- Reducing of service process dimension for a general-type multichannel network in heavy traffic
- A hidden Markov model based on superposition of two restoration processes
- An alternative transient solution for semi-Markov queuing systems
- On asymptotic merging of nodes set for multichannel stochastic networks
- Control problem for the impulse process under stochastic optimization procedure and Lévy conditions
- Optimal control of stochastic dynamic systems of a random structure with Poisson switches and Markov switching
- Perturbed Markov chains with damping component
- A unified approach to analyzing models of cellular communication networks with data call buffering
- Asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes. I.
- Asymptotic properties of the impulse perturbation process under Lévy approximation conditions with the point of equilibrium of the quality criterion
- Procedure of stochastic approximation for the diffusion process with semi-Markov switchings
- On Gaussian approximation of multi-channel networks with input flows of general structure
- Double merging of the phase space for stochastic differential equations with small additions in Poisson approximation conditions
- Continuous procedure of stochastic approximation with singular perturbation under balance conditions
- Differential equations with small stochastic additions under Poisson approximation conditions
- Statistical testing of the hypothesis that the number of customers in the \(GI/G/\infty\) queueing system has an asymptotically normal distribution in heavy traffic
- Differential equations with small stochastic terms under the Lévy approximating conditions
- On transient and stationary regimes for multi-channel networks with periodic inputs
- Generalized birth-death processes and their application to the ageing models
- Continuous stochastic approximation with semi-Markov switchings in the diffusion approximation scheme
- Superposition of Markov renewal processes in stationary phase integration
- Stochastic impulsive processes on a superposition of two renewal processes
- Stationary density function for a random evolution driven by a Markov-switching Ornstein-Uhlenbeck process with finite velocity
- Asymptotic behavior of a modified stochastic optimization procedure in an averaging scheme
- Modeling and analysis of stochastic systems
- Methods for analysis of multi-channel queueing system with instantaneous and delayed feedbacks
- System with stochastic manpower hardware and software interaction
- Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
- Asymptotic expansions for power-exponential moments of hitting times for nonlinearly perturbed semi-Markov processes
- scientific article; zbMATH DE number 2125808 (Why is no real title available?)
- Models for some stochastic systems
- The problem of discrete Markov diffusion leaving an interval
- Stochastic systems in merging phase space.
- Differential and integral equations for jump random motions
- Coupling and ergodic theorems for Markov chains with damping component
- Semi-Markov-Based Approach for the Analysis of Open Tandem Networks with Blocking and Truncation
- Limiting distribution of random motion in a n-dimensional parallelepiped
- One-dimensional semi-Markov evolutions with general Erlang sojourn times
- The first jump separation technique for the tandem queueing system \(\mathrm{GI}/(\mathrm{GI}/\infty)^K\)
- Asymptotic expansion of semi-Markov random evolutions
- scientific article; zbMATH DE number 5655798 (Why is no real title available?)
- Evolution of systems in a semi-Markov random environment
- On the steady state behaviour of stochastic systems
- scientific article; zbMATH DE number 45633 (Why is no real title available?)
- scientific article; zbMATH DE number 52517 (Why is no real title available?)
- Stochastic modelling ofk-out-of-nunits family of systems
- Reliability of semi-Markov systems with asymptotic merging phase space
- Nonlinearly perturbed stochastic processes and systems
- On the Reliability Modeling of Hierarchical Systems
- Storage impulsive processes in the merging phase space
- Necessary and sufficient conditions for convergence of first-rare-event-time processes for perturbed semi-Markov processes
- Binary recurrent statistical experiments with persistent linear regression
- A difference stochastic optimization procedure with impulse perturbation
- Analysis of a cellular network model with multiparameter control for call admission to channels and to data call buffer
- Continuous stochastic optimization with semi-Markov switchings in the diffusion approximation scheme
- Asymptotic expansion of a functional constructed from a semi-Markov random evolution in the scheme of diffusion approximation
- Properties of highly reliable systems with protection in the case of Poisson renewal process
- Hierarchical space merging algorithm for analysis of two stage queueing network with feedback
- scientific article; zbMATH DE number 1865746 (Why is no real title available?)
- Hierarchical space merging algorithm for the analysis of open tandem queueing networks
- Properties of a highly reliable system with duplication and exponential failure-free periods of one of the alternating processes
- Stochastic approximation procedure in semi-Markov environment applied to alcohol consumption model
- On Gaussian approximation of queueing networks with different starting load
- A bound for the remainder term in the asymptotic expansion of a functional constructed from a semi-Markov random evolution
- Numerical analysis of multiparameter strategy of access in multiservice wireless cellular communication networks
- Stochastic models for selected slow variables in large deterministic systems
- Loss tandem networks with blocking -- a semi-Markov approach
- Increment processes and its stochastic exponential with Markov switching in Poisson approximation scheme
- Averaging in the control problem for the diffusion transfer process with semi-Markov switching
- Flows of rare events for regularly perturbed semi-Markov processes
- Evaluation of steady state probabilities of the \(\bullet/\mathrm{G}/\infty\) queuing system for different input flow models
- Stochastic processes described by multidimensional telegraph equations
- Stochastic evolution under Markov-modulated Poisson perturbation in the diffusion approximation scheme
- Diffusion approximation of loss queueing systems
- Asymptotic dissipativity of random processes with impulse perturbation in the Poisson approximation scheme
- Statistical experiments in a balanced Markov random environment
- Convergence of a jump procedure in a semi-Markov environment in diffusion-approximation scheme
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