Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation
The steady-state distribution of the two-sided reflected Markov Modulated Brownian motion is derived through an alternative fluid approximation approach. In this paper, we have shown that the distribution can be obtained by taking limit on the steady-state distribution of a weakly convergent Markov...
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| Published in: | Journal of the Korean Statistical Society Vol. 44; no. 3; pp. 448 - 456 |
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| Format: | Journal Article |
| Language: | English |
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Singapore
Elsevier B.V
01.09.2015
Springer Singapore 한국통계학회 |
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| ISSN: | 1226-3192, 2005-2863 |
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| Abstract | The steady-state distribution of the two-sided reflected Markov Modulated Brownian motion is derived through an alternative fluid approximation approach. In this paper, we have shown that the distribution can be obtained by taking limit on the steady-state distribution of a weakly convergent Markov modulated fluid model. In addition, we present how the duality theorem developed by Ahn and Ramaswami is applied to get the limit result. For computation, we introduce a quadratically convergent algorithm and its related theories which rely on the fluid approximation approach. Through numerical examples, we finally illustrate behaviors of the steady-state distribution and also some performances of the algorithm. |
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| AbstractList | The steady-state distribution of the two-sided reflected Markov Modulated Brownian motion is derived through an alternative fluid approximation approach. In this paper, we have shown that the distribution can be obtained by taking limit on the steady-state distribution of a weakly convergent Markov modulated fluid model. In addition, we present how the duality theorem developed by Ahn and Ramaswami is applied to get the limit result. For computation, we introduce a quadratically convergent algorithm and its related theories which rely on the fluid approximation approach. Through numerical examples, we finally illustrate behaviors of the steady-state distribution and also some performances of the algorithm. The steady-state distribution of the two-sided reflected Markov Modulated Brownian motion is derived through an alternative fluid approximation approach. In this paper, we have shown that the distribution can be obtained by taking limit on the steady-state distribution of a weakly convergent Markov modulated fluid model. In addition, we present how the duality theorem developed by Ahn and Ramaswami is applied to get the limit result. For computation, we introduce a quadratically convergent algorithm and its related theories which rely on the fluid approximation approach. Through numerical examples, we finally illustrate behaviors of the steady-state distribution and also some performances of the algorithm. KCI Citation Count: 2 |
| Author | Ahn, Soohan |
| Author_xml | – sequence: 1 givenname: Soohan surname: Ahn fullname: Ahn, Soohan email: soohan.ahn@gmail.com organization: Department of Statistics, The University of Seoul, Seoul 130-743, Republic of Korea |
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| Keywords | secondary Weak convergence Quadratically convergent algorithm Steady-state distribution Markov modulated Brownian motion Duality primary primary 60K25 secondary 90B05 |
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| References | Billingsley (br000030) 1999 Ahn, S., & Ramaswami, V. (2010). Matrix-geometric algorithms for stochastic fluid flows. In Rogers (br000085) 1994; 4 Ivanovs (br000055) 2010; 47 Jacod, Shiryaev (br000060) 1980 Ahn, Jeon, Ramaswami (br000005) 2005; 49 . Kruck, Lehoczky, Ramanan (br000070) 2007; 35 Asmussen (br000025) 1995; 11 Breuer (br000035) 2008; 45 Kahn (br000065) 1975 Gamarnik, Zeevi (br000040) 2006; 16 Latouche, G., & Nguyen, G. (2014). Fluid approach to two-sided Markov-modulated Brownian motion. Preprint Ahn, Ramaswami (br000015) 2011; 48A Ahn, Ramaswami (br000020) 2014 Ramaswami (br000080) 2013; Vol. 27 Guo (br000045) 2001; 23 Guo (br000050) 2013; 439 Whitt (br000090) 1970; 41 Whitt (br000095) 2002 Breuer (CR7) 2008; 45 Jacod, Shiryaev (CR12) 1980 Asmussen (CR5) 1995; 11 Guo (CR10) 2013; 439 Latouche, Nguyen (CR15) 2014 Ahn, Ramaswami (CR4) 2014 Ahn, Ramaswami (CR3) 2011; 48A Guo (CR9) 2001; 23 Rogers (CR17) 1994; 4 Kruck, Lehoczky, Ramanan (CR14) 2007; 35 Kahn (CR13) 1975 Billingsley (CR6) 1999 Whitt (CR19) 2002 Ahn, Ramaswami (CR2) 2010 Gamarnik, Zeevi (CR8) 2006; 16 Ramaswami (CR16) 2013 Whitt (CR18) 1970; 41 Ahn, Jeon, Ramaswami (CR1) 2005; 49 Ivanovs (CR11) 2010; 47 Jacod (10.1016/j.jkss.2014.12.005_br000060) 1980 Ahn (10.1016/j.jkss.2014.12.005_br000005) 2005; 49 Asmussen (10.1016/j.jkss.2014.12.005_br000025) 1995; 11 Billingsley (10.1016/j.jkss.2014.12.005_br000030) 1999 Guo (10.1016/j.jkss.2014.12.005_br000050) 2013; 439 10.1016/j.jkss.2014.12.005_br000010 Breuer (10.1016/j.jkss.2014.12.005_br000035) 2008; 45 Rogers (10.1016/j.jkss.2014.12.005_br000085) 1994; 4 Ahn (10.1016/j.jkss.2014.12.005_br000020) 2014 Guo (10.1016/j.jkss.2014.12.005_br000045) 2001; 23 10.1016/j.jkss.2014.12.005_br000075 Whitt (10.1016/j.jkss.2014.12.005_br000095) 2002 Kruck (10.1016/j.jkss.2014.12.005_br000070) 2007; 35 Ivanovs (10.1016/j.jkss.2014.12.005_br000055) 2010; 47 Gamarnik (10.1016/j.jkss.2014.12.005_br000040) 2006; 16 Ramaswami (10.1016/j.jkss.2014.12.005_br000080) 2013; Vol. 27 Whitt (10.1016/j.jkss.2014.12.005_br000090) 1970; 41 Kahn (10.1016/j.jkss.2014.12.005_br000065) 1975 Ahn (10.1016/j.jkss.2014.12.005_br000015) 2011; 48A |
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distributions for fluid flow models with or without Brownian noise publication-title: Stochastic Models – year: 2002 ident: br000095 article-title: Stochastic process limits—an introduction to stochastic-process limits and their application to queues – volume: 439 start-page: 2800 year: 2013 end-page: 2814 ident: CR10 article-title: On algebraic Riccati equations associated with M-matrices publication-title: Linear Algebra and its Applications doi: 10.1016/j.laa.2013.08.018 – volume: 47 start-page: 1034 year: 2010 end-page: 1047 ident: CR11 article-title: Markov-modulated Brownian motion with two reflecting barriers publication-title: Journal of Applied Probability doi: 10.1239/jap/1294170517 – volume: 35 start-page: 1740 issue: 5 year: 2007 end-page: 1768 ident: CR14 article-title: An explicit formula for the Skorohod map on [0, ] publication-title: The Annals of Probability doi: 10.1214/009117906000000890 – year: 1980 ident: CR12 publication-title: Limit theorems for stochastic processes – year: 1975 ident: CR13 publication-title: Topology—An introduction to the point-set and algebraic areas – start-page: 209 year: 2013 end-page: 225 ident: CR16 article-title: A fluid introduction to Brownian motion and stochastic integration publication-title: Matrix-analytic methods in stochastic models, Springer proceedings in mathematics & statistics: Vol. 27 doi: 10.1007/978-1-4614-4909-6_10 – volume: 23 start-page: 225 issue: 1 year: 2001 end-page: 242 ident: CR9 article-title: Nonsymmetric algebraic Riccati equations and Wiener–Hopf factorization for M-matrices publication-title: SIAM Journal of Mathematical Analysis doi: 10.1137/S0895479800375680 – year: 2014 ident: CR4 article-title: A new quadratic convergence algorithm for computing first passage distributions of the Markov modulated Brownian fluid model publication-title: Stochastic Models (submitted for publication) – volume: 48A start-page: 309 year: 2011 end-page: 318 ident: CR3 article-title: Duality results 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10.1214/aoap/1177005065 – volume: 16 start-page: 56 year: 2006 ident: 10.1016/j.jkss.2014.12.005_br000040 article-title: Validity of heavy traffic steady-state approximations in generalized Jackson networks publication-title: Annals of Applied Probability doi: 10.1214/105051605000000638 – year: 2002 ident: 10.1016/j.jkss.2014.12.005_br000095 – volume: 35 start-page: 1740 issue: 5 year: 2007 ident: 10.1016/j.jkss.2014.12.005_br000070 article-title: An explicit formula for the Skorohod map on [0,a] publication-title: The Annals of Probability doi: 10.1214/009117906000000890 – ident: 10.1016/j.jkss.2014.12.005_br000075 – year: 2014 ident: 10.1016/j.jkss.2014.12.005_br000020 article-title: A new quadratic convergence algorithm for computing first passage distributions of the Markov modulated Brownian fluid model publication-title: Stochastic Models – volume: 11 start-page: 1 year: 1995 ident: 10.1016/j.jkss.2014.12.005_br000025 article-title: Stationary distributions for fluid flow models 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| SubjectTerms | Applied Statistics Bayesian Inference Duality Markov modulated Brownian motion Quadratically convergent algorithm Statistical Theory and Methods Statistics Statistics and Computing/Statistics Programs Steady-state distribution Weak convergence 통계학 |
| Title | Alternative fluid approximation approach for the steady-state distribution of the two-sided reflected Markov modulated Brownian motion and its computation |
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