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

卷:124

Article

Bean, Nigel G.¹  O'Reilly, Malgorzata M.² 

[1] Univ Adelaide, Adelaide, SA 5005, Australia

[2] Univ Tasmania, Sch Math, Hobart, Tas 7001, Australia

关键词: Stochastic fluid model;    Markov chain;    Laplace-Stieltjes transform;    Transient analysis;    Limiting distribution;   

DOI  :  10.1016/j.spa.2013.12.006

来源: Elsevier

【 摘 要 】

We introduce the Stochastic Fluid Fluid Model, which offers powerful modeling ability for a wide range of real-life systems of significance. 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 first direct analysis of a stochastic fluid model that is Markovian on a continuous state space. (c) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free