Two types of RG-factorizations of quasi-birth-and-death processes and their applications to stochastic integral functionals
文献类型：期刊论文
| 作者 | Li, QL; Cao, JH |
| 刊名 | STOCHASTIC MODELS
 |
| 出版日期 | 2004 |
| 卷号 | 20期号:3页码:299-340 |
| 关键词 | level-dependent QBD process R-measure G-measure RG-factorization linear QBD-equation stochastic integral functional |
| ISSN号 | 1532-6349 |
| DOI | 10.1081/STM-200025740 |
| 英文摘要 | 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. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000223929100003 |
| 出版者 | MARCEL DEKKER INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/19160]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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