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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
Author:O'Reilly, MM (Dr Malgorzata O'Reilly)
ID Code:88026
Year Published:2014
Web of Science® Times Cited:4
Deposited By:Mathematics and Physics
Deposited On:2014-01-07
Last Modified:2017-10-30
Downloads:0

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