Biblioteca de la Universidad Complutense de Madrid

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


Artalejo, Jesús R. y Gómez-Corral, Antonio (2010) A state-dependent Markov-modulated mechanism for generating events and stochastic models. Mathematical Methods in the Applied Sciences, 33 (11). pp. 1342-1349. ISSN 0170-4214

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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.

Tipo de documento:Artículo
Palabras clave:Stochastic models;Queueing; Epidemics
Materias:Ciencias > Matemáticas > Procesos estocásticos
Código ID:15033

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Última Modificación:08 Mar 2016 14:49

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