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A note on martingale inequalities for fluid models

Author

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  • Palmowski, Zbigniew
  • Rolski, Tomasz

Abstract

We discuss how to prove exponential upper bounds for simple fluid models driven by a finite state CTMC. In particular, we consider the fluid model of Anick, Mitra and Sondhi, in which the fluid is generated by N independent 0-1 Markovian sources. We also give a result on a generalized eigenvector for fluid models driven by reversible CTMCs.

Suggested Citation

  • Palmowski, Zbigniew & Rolski, Tomasz, 1996. "A note on martingale inequalities for fluid models," Statistics & Probability Letters, Elsevier, vol. 31(1), pages 13-21, December.
    • Handle: RePEc:eee:stapro:v:31:y:1996:i:1:p:13-21
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    Cited by:

    1. Schlegel, Sabine, 1998. "Ruin probabilities in perturbed risk models," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 93-104, May.
    2. Sai Rajesh Mahabhashyam & Natarajan Gautam & Soundar R. T. Kumara, 2008. "Resource-Sharing Queueing Systems with Fluid-Flow Traffic," Operations Research, INFORMS, vol. 56(3), pages 728-744, June.

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