Random walk, birth-and-death process and their fluid approximations: absorbing case

A. Piunovskiy ()

Mathematical Methods of Operations Research, 2009, vol. 70, issue 2, 285-312

Abstract: Fluid models are used to study functionals of the underlying random processes. Instead of analysing the trajectories, we investigate algebraic equations of the dynamic programming type which turn out to be discrete analogs of the corresponding differential equations. This analysis makes it possible to estimate the accuracy of approximation. Since the algebraic equations are the same for random walks and continuous time birth-and-death processes, we study the two cases in parallel. Several illustrative examples are also presented. Copyright Springer-Verlag 2009

Keywords: Random walk; Birth-and-death process; Fluid model; Approximation of operators; Queuing system; Information transmission; Dynamic programming (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s00186-008-0269-y

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