A Matrix-Analytic Approach to Markov-Modulated Brownian Motion

摘要：

　　Ramaswami has shown in 2013 that standard Brownian motion is the limit of a family of two-phase fluid queues with increasing rates of transition from one phase to the other.This has motivated us to investigate Markov-modulated Brownian motions(MMBMs)from a matrixanalytic point of view,starting from a Markov-regenerative approach and using fast-switching fluid queues as a tool to determine the required characteristics.Fluid queues,are a particular family of MMBMs characterised by the fact that the evolution is piece-wise linear without Brownian noise.A key consequence is that stochastic fluid queues are amenable to Kolmogorov-type analysis.We present here a summary of the idea behind the technique and of the results obtained so far.

关键词： Fluid queues Markov-modulated Brownian motion Markov-regenerative processes

作者: Guy Latouche

作者单位: Département dinformatique Université libre de Bruxelles,1050 Bruxelles,Belgium

会议类型: 国际会议

会议名称: The 12th International Conference on Queueing Theory and Network Applications(第十二届排序理论与网络应用国际会议)(QTNA 2017)

会议地点: 河北秦皇岛

会议语种:英文

页码: 12-16

在线出版日期: 2017-08-21（万方平台首次上网日期，不代表论文的发表时间）