The erlangization method for Markovian fluid flows

V. Ramaswami (), Douglas Woolford () and David Stanford

Annals of Operations Research, 2008, vol. 160, issue 1, 215-225

Abstract: For applications of stochastic fluid models, such as those related to wildfire spread and containment, one wants a fast method to compute time dependent probabilities. Erlangization is an approximation method that replaces various distributions at a time t by the corresponding ones at a random time with Erlang distribution having mean t. Here, we develop an efficient version of that algorithm for various first passage time distributions of a fluid flow, exploiting recent results on fluid flows, probabilistic underpinnings, and some special structures. Some connections with a familiar Laplace transform inversion algorithm due to Jagerman are also noted up front. Copyright Springer Science+Business Media, LLC 2008

Keywords: Erlangization; Fluid flow; Markov modulation; Markov process (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (12)

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DOI: 10.1007/s10479-008-0309-2

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