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Hitting probabilities and hitting times for stochastic fluid flows: the Bounded Model
Citation
Bean, NG and O'Reilly, MM and Taylor, PG, Hitting probabilities and hitting times for stochastic fluid flows: the Bounded Model, Probability in the Engineering and Informational Sciences, 23, (1) pp. 121-147. ISSN 0269-9648 (2009) [Refereed Article]
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Copyright Statement
© Cambridge University Press 2009
Official URL: http://journals.cambridge.org
DOI: doi:10.1017/S0269964809000102
Abstract
We consider a Markovian stochastic fluid flow model in which the fluid level has
a lower bound zero and a positive upper bound. The behavior of the process at the
boundaries is modeled by parameters that are different than those in the interior
and allow for modeling a range of desired behaviors at the boundaries.We illustrate
this with examples. We establish formulas for several time-dependent performance
measures of significance to a number of applied probability models. These results
are achieved with techniques applied within the fluid flow model directly. This leads
to useful physical interpretations, which are presented.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | Markovian stochastic fluid flow model, Markov chain |
| Research Division: | Mathematical Sciences |
| Research Group: | Statistics |
| Research Field: | Stochastic analysis and modelling |
| Objective Division: | Expanding Knowledge |
| Objective Group: | Expanding knowledge |
| Objective Field: | Expanding knowledge in the mathematical sciences |
| UTAS Author: | O'Reilly, MM (Associate Professor Malgorzata O'Reilly) |
| ID Code: | 57604 |
| Year Published: | 2009 |
| Web of Science® Times Cited: | 21 |
| Deposited By: | Mathematics |
| Deposited On: | 2009-07-29 |
| Last Modified: | 2015-01-27 |
| Downloads: | 333 View Download Statistics |
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