A computational approach to extreme values and related hitting probabilities in level-dependent quasi-birth–death processes
Author
Abstract
Suggested Citation
DOI: 10.1016/j.matcom.2024.08.019
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Phung-Duc, Tuan, 2015. "Asymptotic analysis for Markovian queues with two types of nonpersistent retrial customers," Applied Mathematics and Computation, Elsevier, vol. 265(C), pages 768-784.
- Sanga, Sudeep Singh & Charan, Gannamaneni Sai, 2023. "Fuzzy modeling and cost optimization for machine repair problem with retrial under admission control F-policy and feedback," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 211(C), pages 214-240.
- Antonio Gómez-Corral & Martín López-García & Maria Jesus Lopez-Herrero & Diana Taipe, 2020. "On First-Passage Times and Sojourn Times in Finite QBD Processes and Their Applications in Epidemics," Mathematics, MDPI, vol. 8(10), pages 1-25, October.
- Claude Lefèvre & Matthieu Simon, 2020. "SIR-Type Epidemic Models as Block-Structured Markov Processes," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 433-453, June.
- Amir Rastpour & Armann Ingolfsson & Burhaneddin Sandıkçı, 2022. "Algorithms for Queueing Systems with Reneging and Priorities Modeled as Quasi-Birth-Death Processes," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1693-1710, May.
- Gómez-Corral, A. & Lopez-Herrero, M.J. & Taipe, D., 2023. "A Markovian epidemic model in a resource-limited environment," Applied Mathematics and Computation, Elsevier, vol. 458(C).
- Tetsuya Takine, 2022. "On level-dependent QBD processes with explosive state space," Queueing Systems: Theory and Applications, Springer, vol. 100(3), pages 353-355, April.
- Jeganathan, K. & Abdul Reiyas, M. & Prasanna Lakshmi, K. & Saravanan, S., 2019. "Two server Markovian inventory systems with server interruptions: Heterogeneous vs. homogeneous servers," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 155(C), pages 177-200.
- Joseph Abate & Ward Whitt, 1995. "Numerical Inversion of Laplace Transforms of Probability Distributions," INFORMS Journal on Computing, INFORMS, vol. 7(1), pages 36-43, February.
- Hendrik Baumann, 2020. "Finite-State-Space Truncations for Infinite Quasi-Birth-Death Processes," Journal of Applied Mathematics, Hindawi, vol. 2020, pages 1-23, August.
- Hendrik Baumann & Werner Sandmann, 2016. "Structured Modeling and Analysis of Stochastic Epidemics with Immigration and Demographic Effects," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-19, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- T. Harikrishnan & K. Jeganathan & S. Selvakumar & N. Anbazhagan & Woong Cho & Gyanendra Prasad Joshi & Kwang Chul Son, 2022. "Analysis of Stochastic M / M / c / N Inventory System with Queue-Dependent Server Activation, Multi-Threshold Stages and Optional Retrial Facility," Mathematics, MDPI, vol. 10(15), pages 1-37, July.
- Dassios, Angelos & Qu, Yan & Zhao, Hongbiao, 2018. "Exact simulation for a class of tempered stable," LSE Research Online Documents on Economics 86981, London School of Economics and Political Science, LSE Library.
- Richard L. Warr & Cason J. Wight, 2020. "Error Bounds for Cumulative Distribution Functions of Convolutions via the Discrete Fourier Transform," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 881-904, September.
- Yera, Yoel G. & Lillo, Rosa E. & Ramírez-Cobo, Pepa, 2019. "Fitting procedure for the two-state Batch Markov modulated Poisson process," European Journal of Operational Research, Elsevier, vol. 279(1), pages 79-92.
- He, Gang & Wu, Wenqing & Zhang, Yuanyuan, 2018. "Analysis of a multi-component system with failure dependency, N-policy and vacations," Operations Research Perspectives, Elsevier, vol. 5(C), pages 191-198.
- Shu, Yin & Feng, Qianmei & Liu, Hao, 2019. "Using degradation-with-jump measures to estimate life characteristics of lithium-ion battery," Reliability Engineering and System Safety, Elsevier, vol. 191(C).
- David H Collins & Richard L Warr & Aparna V Huzurbazar, 2013. "An introduction to statistical flowgraph models for engineering systems," Journal of Risk and Reliability, , vol. 227(5), pages 461-470, October.
- C. E. Phelan & D. Marazzina & G. Germano, 2020.
"Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities,"
Quantitative Finance, Taylor & Francis Journals, vol. 20(6), pages 899-918, June.
- Phelan, C. E. & Marazzina, D. & Germano, G., 2020. "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," LSE Research Online Documents on Economics 103780, London School of Economics and Political Science, LSE Library.
- Harrison, Peter G., 2024. "On the numerical solution of functional equations with application to response time distributions," Applied Mathematics and Computation, Elsevier, vol. 472(C).
- Joseph Abate & Ward Whitt, 1999. "Computing Laplace Transforms for Numerical Inversion Via Continued Fractions," INFORMS Journal on Computing, INFORMS, vol. 11(4), pages 394-405, November.
- Dassios, Angelos & Zhang, You You, 2016. "The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing," LSE Research Online Documents on Economics 64959, London School of Economics and Political Science, LSE Library.
- Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018. "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages 39-68, January.
- John F. Shortle & Martin J. Fischer & Percy H. Brill, 2007. "Waiting-Time Distribution of M/D N /1 Queues Through Numerical Laplace Inversion," INFORMS Journal on Computing, INFORMS, vol. 19(1), pages 112-120, February.
- Jeffrey P. Kharoufeh & Natarajan Gautam, 2004. "A fluid queueing model for link travel time moments," Naval Research Logistics (NRL), John Wiley & Sons, vol. 51(2), pages 242-257, March.
- Rama Cont & Sasha Stoikov & Rishi Talreja, 2010. "A Stochastic Model for Order Book Dynamics," Operations Research, INFORMS, vol. 58(3), pages 549-563, June.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2024. "Efficient inverse $Z$-transform and Wiener-Hopf factorization," Papers 2404.19290, arXiv.org, revised May 2024.
- Corsaro, Stefania & Kyriakou, Ioannis & Marazzina, Daniele & Marino, Zelda, 2019. "A general framework for pricing Asian options under stochastic volatility on parallel architectures," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1082-1095.
- Abdel Belkaid & Frederic Utzet, 2017. "Efficient Computation of First Passage Times in Kou’s Jump-diffusion Model," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 957-971, September.
- Gómez-Corral, A. & Lopez-Herrero, M.J. & Taipe, D., 2023. "A Markovian epidemic model in a resource-limited environment," Applied Mathematics and Computation, Elsevier, vol. 458(C).
- Steven Kou & Cindy Yu & Haowen Zhong, 2017. "Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis," Management Science, INFORMS, vol. 63(4), pages 988-1010, April.
More about this item
Keywords
Epidemic model; First-passage time; Hitting probability; Quasi-birth–death process;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:228:y:2025:i:c:p:211-224. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.