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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 |
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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: | 320 View Download Statistics |
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