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Algorithms for Return Probabilities for Stochastic Fluid Flows


Bean, NG and O'Reilly, MM and Taylor, PG, Algorithms for Return Probabilities for Stochastic Fluid Flows, Stochastic Models, 21, (1) pp. 149-184. ISSN 1532-6349 (2005) [Refereed Article]

DOI: doi:10.1081/STM-200046511


We consider several known algorithms and introduce some new algorithms that can be used to calculate the probability of return to the initial level in the Markov stochastic fluid flow model. We give the physical interpretations of these algorithms within the fluid flow environment. The rates of convergence are explained in terms of the physical properties of the fluid flow processes. We compare these algorithms with respect to the number of iterations required and their complexity. The performance of the algorithms depends on the nature of the process considered in the analysis. We illustrate this with examples and give appropriate recommendations. Copyright © Taylor & Francis, Inc.

Item Details

Item Type:Refereed Article
Research Division:Mathematical Sciences
Research Group:Statistics
Research Field:Stochastic analysis and modelling
Objective Division:Information and Communication Services
Objective Group:Communication technologies, systems and services
Objective Field:Mobile technologies and communications
UTAS Author:O'Reilly, MM (Associate Professor Malgorzata O'Reilly)
ID Code:37470
Year Published:2005
Web of Science® Times Cited:49
Deposited By:Mathematics
Deposited On:2006-02-08
Last Modified:2006-02-08

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