Two types of RG-factorizations of quasi-birth-and-death processes and their applications to stochastic integral functionals

doi:10.1081/STM-200025740

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	Two types of RG-factorizations of quasi-birth-and-death processes and their applications to stochastic integral functionals
	Li, QL ; Cao, JH
	2004
发表期刊	STOCHASTIC MODELS
ISSN	1532-6349
卷号	20 期号:3 页码:299-340
摘要	In this paper, we provide UL-type and LU-type RG-factorizations for an irreducible continuous-time level-dependent quasi-birth-and-death (QBD) process with either finitely-many levels or infinitely-many levels, and then apply the RG-factorizations to solve a class of linear QBD-equations, which is always crucial for analyzing a stochastic model described as a QBD process. Based on the results obtained for the linear QBD-equations, we analyze up-, down- and return-integral functionals. We explicitly express the Laplace transforms of the conditional distributions of the three types of stochastic integral functionals and their conditional moments.
关键词	level-dependent QBD process R-measure G-measure RG-factorization linear QBD-equation stochastic integral functional
DOI	10.1081/STM-200025740
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000223929100003
出版者	MARCEL DEKKER INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/19161
专题	中国科学院数学与系统科学研究院
通讯作者	Li, QL
作者单位	1.Tsing Hua Univ, Dept Ind Engn, Beijing 100084, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Li, QL,Cao, JH. Two types of RG-factorizations of quasi-birth-and-death processes and their applications to stochastic integral functionals[J]. STOCHASTIC MODELS,2004,20(3):299-340.
APA	Li, QL,&Cao, JH.(2004).Two types of RG-factorizations of quasi-birth-and-death processes and their applications to stochastic integral functionals.STOCHASTIC MODELS,20(3),299-340.
MLA	Li, QL,et al."Two types of RG-factorizations of quasi-birth-and-death processes and their applications to stochastic integral functionals".STOCHASTIC MODELS 20.3(2004):299-340.