Wavelet transform for quasi-birth–death process with a continuous phase set

Shuxia Jiang, Guy Latouche and Yuanyuan Liu

Applied Mathematics and Computation, 2015, vol. 252, issue C, 354-376

Abstract: We consider the computational questions which arise when analyzing quasi-birth–death processes with a continuous phase set. We develop a framework based on the wavelet transform and we propose a numerical algorithm for computing the steady-state probabilities based on the fast orthogonal wavelet transform. We conclude with a few examples to illustrate the effectiveness of our numerical algorithm.

Keywords: Quasi-birth-and-death process; Continuous phase; Stationary probability; Wavelet series; Numerical algorithm (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:252:y:2015:i:c:p:354-376

DOI: 10.1016/j.amc.2014.12.023

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