Related papers: Analytic Approach to the Non-Preemptive Markovian …

We focus on a data sequence produced by repetitive quantum measurement on an internal hidden quantum system, and call it a hidden Markovian process. Using a quantum version of the Perron-Frobenius theorem, we derive novel upper and lower…

Asymptotic expansions with explicit upper bounds for remainders are given for stationary distributions of nonlinearly perturbed semi-Markov processes with finite phase spaces. The corresponding algorithms are based on a special technique of…

We consider a Markovian load balancing model on a fully-connected network, where calls have Poisson arrivals and exponential durations. The endpoints of each call are uniform over all the links of the network. Each call is routed either…

This note presents conjectures on polynomial/algebraic/sub-exponential convergence of transition probabilities for $\lambda$-null recurrent and $\lambda$-transient Markov chains in continuous time. The only known positive examples are in…

Markov cohort state-transition models have been the standard approach for simulating the prognosis of patients or, more generally, the life trajectories of individuals over a time period. Current approaches for estimating the variance of a…

At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…

Computational procedures for the stationary probability distribution, the group inverse of the Markovian kernel and the mean first passage times of an irreducible Markov chain, are developed using perturbations. The derivation of these…

New algorithms for computing of asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes are presented. The algorithms are based on special techniques of sequential phase space reduction, which can…

In this paper, we present a numerical framework for constructing bounds on stationary performance measures of random walks in the positive orthant using the Markov reward approach. These bounds are established in terms of stationary…

This self-contained discussion relates the long-run average holding cost per unit time to the long-run average response time per customer in a $G/G/1$ queue with no assumption made on the order of service. The only restriction established…

In this note, a general approach to the study of non-stationary Markov chains with catastrophes and the corresponding queuing models is considered, as well as to obtain estimates of the limiting regime itself. As an illustration, an example…

We introduce a generalization of the Adaptive Multilevel Splitting algorithm in the discrete time dynamic setting, namely when it is applied to sample rare events associated with paths of Markov chains. By interpreting the algorithm as a…

Consider the class of Ensemble Square Root filtering algorithms for the numerical approximation of the posterior distribution of nonlinear Markovian signals partially observed with linear observations corrupted with independent measurement…

This paper is a step in the direction of understanding the behavior of non-intersecting Brownian motions on the real line, when the number of particles becomes large. Consider 2k non-intersecting Brownian motions, all starting at the…

This paper considers the tail asymptotics for a cumulative process $\{B(t); t \ge 0\}$ sampled at a heavy-tailed random time $T$. The main contribution of this paper is to establish several sufficient conditions for the asymptotic equality…

Inspired from non-equilibrium statistical physics models, a general framework enabling the definition and synthesis of stationary time series with a priori prescribed and controlled joint distributions is constructed. Its central feature…

The bike sharing systems are fast increasing as a public transport mode in urban short trips, and have been developed in many major cities around the world. A major challenge in the study of bike sharing systems is that large-scale and…

An extension of non-deterministic processes driven by the random telegraph signal is introduced in the framework of "piecewise deterministic Markov processes" [Davis], including a broader category of random systems. The corresponding…

We consider a model for a queue in which only a fixed number $N$ of customers can join. Each customer joins the queue independently at an exponentially distributed time. Assuming further that the service times are independent and follow an…

Several researchers have described two-part models with patient-specific stochastic processes for analysing longitudinal semicontinuous data. In theory, such models can offer greater flexibility than the standard two-part model with…