The stochastic fluid–fluid model: A stochastic fluid model driven by an uncountable-state process, which is a stochastic fluid model itself

Nigel G. Bean and O’Reilly, Małgorzata M.

Stochastic Processes and their Applications, 2014, vol. 124, issue 5, 1741-1772

Abstract: We introduce the Stochastic Fluid–Fluid Model, which offers powerful modeling ability for a wide range of real-life systems of significance. We first derive the infinitesimal generator, with respect to time, of the driving stochastic fluid model. We then use this to derive the infinitesimal generator of a particular Laplace–Stieltjes transform of the model, which is the foundation of our analysis. We develop expressions for the Laplace–Stieltjes transforms of various performance measures for the transient and limiting analysis of the model. This work is the first direct analysis of a stochastic fluid model that is Markovian on a continuous state space.

Keywords: Stochastic fluid model; Markov chain; Laplace–Stieltjes transform; Transient analysis; Limiting distribution (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:5:p:1741-1772

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DOI: 10.1016/j.spa.2013.12.006

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