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The stochastic fluid–fluid model: a stochastic fluid model driven by an uncountable-state process, which is a stochastic fluid model itself
Citation
Bean, NG and O'Reilly, MM, The stochastic fluid-fluid model: a stochastic fluid model driven by an uncountable-state process, which is a stochastic fluid model itself, Stochastic Processes and Their Applications, 124, (5) pp. 1741-1772. ISSN 0304-4149 (2014) [Refereed Article]
Copyright Statement
Copyright 2014 Elsevier
DOI: doi:10.1016/j.spa.2013.12.006
Abstract
We introduce the Stochastic Fluid-Fluid Model, which o ffers powerful modelling
ability for a wide range of real-life systems of signifi cance. We first derive
the infinitesimal generator, with respect to time, of the driving stochastic fluid model. We then use this to derive the infinitesimal generator of a particular Laplace-Stieltjes transform of the model, which is the foundation of
our analysis. We develop expressions for the Laplace-Stieltjes transforms of
various performance measures for the transient and limiting analysis of the
model. This work is the fi rst direct analysis of a stochastic fluid model that
is Markovian on a continuous state space.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | stochastic fluid model, Markov Chain, Laplace-Stieltjes transform, transient analysis, limiting distribution |
| Research Division: | Mathematical Sciences |
| Research Group: | Applied mathematics |
| Research Field: | Operations research |
| 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: | 88026 |
| Year Published: | 2014 |
| Web of Science® Times Cited: | 10 |
| Deposited By: | Mathematics and Physics |
| Deposited On: | 2014-01-07 |
| Last Modified: | 2017-10-30 |
| Downloads: | 0 |
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