Hitting probabilities in a Markov additive process with linear movements and upward jumps: applications to risk and queueing processes.
From MaRDI portal
Publication:1879901
DOI10.1214/105051604000000206zbMath1057.60073arXivmath/0406183OpenAlexW2056733572MaRDI QIDQ1879901
Publication date: 15 September 2004
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0406183
Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Continuous-time Markov processes on discrete state spaces (60J27) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)
Related Items (4)
On an approach to boundary crossing by stochastic processes ⋮ On the ruin problem in a Markov-modulated risk model ⋮ Extremes of Markov-additive processes with one-sided jumps, with queueing applications ⋮ Asymptotic behavior of the loss rate for Markov-modulated fluid queue with a finite buffer
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Ladder heights and the Markov-modulated M/G/1 queue
- Computing the stationary distribution for infinite Markov chains
- Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
- Busy period analysis, rare events and transient behavior in fluid flow models
- Large deviations results for subexponential tails, with applications to insurance risk
- Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
- A CONVEXITY PROPERTY OF POSITIVE MATRICES
- Markov processes whose steady state distribution is matrix-exponential with an application to the GI/PH/1 queue
- Stationary distributions for fluid flow models with or without brownian noise
- MARKOV MODULATED FLUID QUEUES WITH BATCH FLUID ARRIVALS
- A MARKOV RENEWAL APPROACH TO THE ASYMPTOTIC DECAY OF THE TAIL PROBABILITIES IN RISK AND QUEUING PROCESSES
- A matrix exponential form for hitting probabilities and its application to a Markov-modulated fluid queue with downward jumps
- Symmetric Wiener-Hopf factorisations in Markov additive processes
This page was built for publication: Hitting probabilities in a Markov additive process with linear movements and upward jumps: applications to risk and queueing processes.
