2ND-ORDER FLUID-FLOW MODELS - REFLECTED BROWNIAN-MOTION IN A RANDOM ENVIRONMENT
成果类型：
Article
署名作者：
KARANDIKAR, RL; KULKARNI, VG
署名单位：
University of North Carolina; University of North Carolina Chapel Hill
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.43.1.77
发表日期：
1995
页码：
77-88
关键词：
摘要：
This paper considers a stochastic fluid model of a buffer content process {X(t), t greater than or equal to 0} that depends on a finite-state, continuous-time Markov process {Z(t), t greater than or equal to 0} as follows: During the time-intervals when Z(t) is in state i, X(t) is a Brownian motion with drift mu(i), variance parameter sigma(i)(2) and a reflecting boundary at zero. This paper studies the steady-state analysis of the bivariate process {(X(t), Z(t)), t greater than or equal to 0} in terms of the eigenvalues and eigenvectors of a nonlinear matrix system. Algorithms are developed to compute the steady-state distributions as well as moments. Numerical work is reported to show that the variance parameter has a dramatic effect on the buffer content process.