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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
Author:O'Reilly, MM (Dr Malgorzata O'Reilly)
ID Code:57604
Year Published:2009
Web of Science® Times Cited:15
Deposited By:Mathematics
Deposited On:2009-07-29
Last Modified:2015-01-27
Downloads:209 View Download Statistics

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