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RAP-modulated fluid processes: First passages and the stationary distribution

Author

Listed:
  • Bean, Nigel G.
  • Nguyen, Giang T.
  • Nielsen, Bo F.
  • Peralta, Oscar

Abstract

We construct a stochastic fluid process with an underlying piecewise deterministic Markov process (PDMP) akin to the one used in the construction of the rational arrival process (RAP) in Asmussen and Bladt (1999) which we call the RAP-modulated fluid process. As opposed to the classic Markov-modulated fluid process driven by a Markov jump process, the underlying PDMP of a RAP-modulated fluid process has a continuous state space and is driven by matrix parameters which may not be related to an intensity matrix. Through novel techniques we show how well-known formulae associated to the Markov-modulated fluid process, such as first passage probabilities and the stationary distribution of its queue, translate to its RAP-modulated counterpart.

Suggested Citation

  • Bean, Nigel G. & Nguyen, Giang T. & Nielsen, Bo F. & Peralta, Oscar, 2022. "RAP-modulated fluid processes: First passages and the stationary distribution," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 308-340.
    • Handle: RePEc:eee:spapps:v:149:y:2022:i:c:p:308-340
    DOI: 10.1016/j.spa.2022.03.013
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    References listed on IDEAS

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    1. Rajeeva L. Karandikar & Vidyadhar G. Kulkarni, 1995. "Second-Order Fluid Flow Models: Reflected Brownian Motion in a Random Environment," Operations Research, INFORMS, vol. 43(1), pages 77-88, February.
    2. Asmussen, Søren & Bladt, Mogens, 1999. "Point processes with finite-dimensional conditional probabilities," Stochastic Processes and their Applications, Elsevier, vol. 82(1), pages 127-142, July.
    3. Bean, Nigel G. & O'Reilly, Malgorzata M. & Taylor, Peter G., 2005. "Hitting probabilities and hitting times for stochastic fluid flows," Stochastic Processes and their Applications, Elsevier, vol. 115(9), pages 1530-1556, September.
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