A state-dependent Markov-modulated mechanism for generating events and stochastic models

In this paper, we introduce a versatile block‐structured state‐dependent event (BSDE) approach that provides a methodological tool to construct non‐homogeneous Markov‐modulated stochastic models. Alternatively, the BSDE approach can be used to construct even a part (e.g. the arrival process) of the...

Full description

Saved in:
Bibliographic Details
Published in:Mathematical methods in the applied sciences 2010-07, Vol.33 (11), p.1342-1349
Main Authors: Artalejo, Jesus R., Gómez-Corral, A.
Format: Article
Language:English
Subjects:
Arrivals
Blocking
Construction
Construction equipment
epidemics
Exact sciences and technology
Mathematical analysis
Mathematical models
Mathematics
queueing
Scalars
Sciences and techniques of general use
stochastic models
Stochasticity
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In this paper, we introduce a versatile block‐structured state‐dependent event (BSDE) approach that provides a methodological tool to construct non‐homogeneous Markov‐modulated stochastic models. Alternatively, the BSDE approach can be used to construct even a part (e.g. the arrival process) of the model. To illustrate the usefulness of the BSDE approach, several arrival patterns as well as queueing and epidemic models are considered. In particular, we deal with a state‐dependent quasi‐birth‐and‐death process that gives a constructive generalization of the scalar birth‐and‐death process and the homogeneous quasi‐birth‐and‐death process. Copyright © 2009 John Wiley & Sons, Ltd.
ISSN:0170-4214
1099-1476
1099-1476
DOI:10.1002/mma.1252