Wiener-Hopf factorization, Erlangization and transient solutions in some Markov-modulated queueing models
Erlangizationfixed point equationiterationLévy processMarkov additive processnetput processphase-type distributionqueueing modelsreflectionWiener-Hopf factorization
Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28) Queueing theory (aspects of probability theory) (60K25) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Queues and service in operations research (90B22)
- A factorization of a Lévy process over a phase-type horizon
- A numerical approach for evaluating the time-dependent distribution of a quasi birth-death process
- A unified framework for numerically inverting Laplace transforms
- Affine storage and insurance risk models
- Applied Probability and Queues
- Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
- Erlangian approximation to finite time ruin probabilities in perturbed risk models
- Erlangian Approximations for Finite-Horizon Ruin Probabilities
- Erlangized Fluid Queues with Application To Uncontrolled Fire Perimeter
- scientific article; zbMATH DE number 3755546 (Why is no real title available?)
- scientific article; zbMATH DE number 3447907 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 3212585 (Why is no real title available?)
- Markov-modulated processes and semigenerative phenomena
- Markov-modulated queueing systems
- Markov-modulated single-server queueing systems
- Matrix representations of Wiener-Hopf factorisations for Lévy processes
- Matrix-Exponential Distributions in Applied Probability
- Numerical techniques in Lévy fluctuation theory
- On barrier option pricing by Erlangization in a regime-switching model with jumps
- On corrected phase-type approximations of the time value of ruin with heavy tails
- On Erlangization and extrapolation, with applications to financial regime-switching Lévy models
- Perpetual options and Canadization through fluctuation theory
- Pricing and hedging barrier options in a hyper-exponential additive model
- Queues and Lévy fluctuation theory
- Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
- Randomization and the American put
- Ruin probabilities
- Splitting and time reversal for Markov additive processes
- The Cramér-Lundberg model and its variants. A queueing perspective
- The Erlangization method for Markovian fluid flows
- Transient analysis of reflected Lévy processes
- Wiener-Hopf factorization for convolution semigroups
This page was built for publication: Wiener-Hopf factorization, Erlangization and transient solutions in some Markov-modulated queueing models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6879416)