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A stochastic two-dimensional fluid model

Citation

Bean, NG and O'Reilly, MM, A stochastic two-dimensional fluid model, Stochastic Models, 29, (1) pp. 31-63. ISSN 1532-6349 (2013) [Refereed Article]

Copyright Statement

Copyright 2012 Taylor & Francis

DOI: doi:10.1080/15326349.2013.750532

Abstract

We introduce a Stochastic Two-Dimensional Fluid Model that consists of two stochastic fluid flows driven by the same underlying Markov chain, where one of the fluids is unconstrained. We develop the theoretical and numerical framework for the transient analysis of the model. We derive the important generator matrix of a particular Laplace-Stieltjes transform of the model, which is the foundation of our analysis. We use it to develop expressions for the Laplace-Stieltjes transforms of various performance measures for the transient analysis of the model and construct powerful algorithms for their numerical evaluation. An example of an application in a queueing environment is given.

Item Details

Item Type:Refereed Article
Keywords:coupled model, Markov chain, Riccati equation, stochastic fluid model
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:82636
Year Published:2013
Funding Support:Australian Research Council (DP1111663)
Web of Science® Times Cited:10
Deposited By:Mathematics and Physics
Deposited On:2013-02-08
Last Modified:2015-01-27
Downloads:0

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