Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains

DOI10.1080/17442508.2019.1708913zbMath1492.60222arXiv1902.10850OpenAlexW2997928496WikidataQ126412492 ScholiaQ126412492MaRDI QIDQ5086622

Ruoting Gong, Igor Cialenco, Ziteng Cheng, Tomasz R. Bielecki

Publication date: 6 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.10850

zbMATH Keywords

Wiener-Hopf factorizationFeller semigrouptime homogenizationMarkov familytime-inhomogeneous finite Markov chain

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Continuous-time Markov processes on discrete state spaces (60J27) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

• Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
• The theory of stochastic processes. I. Translated from the Russian by S. Kotz.
• Lévy matters III. Lévy-type processes: construction, approximation and sample path properties
• Probabilistic factorization of a quadratic matrix polynomial
• Feller evolution systems: Generators and approximation
• Exotic Derivatives under Stochastic Volatility Models with Jumps
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item