Wiener-Hopf factorizations for a multidimensional Markov additive process and their applications to reflected processes

Wiener-Hopf factorizations for a multidimensional Markov additive process and their applications to reflected processes

We extend the framework of Neuts' matrix analytic approach to a reflected process generated by a discrete time multidimensional Markov additive process. This Markov additive process has a general background state space and a real vector valued additive component, and generates a multidimensiona...

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Bibliographic Details
Main Authors: Masakiyo Miyazawa, Bert Zwart
Format: Article
Language:English
Published: Institute for Operations Research and the Management Sciences (INFORMS) 2012-01-01
Series:Stochastic Systems
Subjects:
Markov-additive processes
Wiener-Hopf factorization
R-G decomposition
occupation measure
multidimensional reflecting process
stationary distribution
tail asymptotics
light tail
Online Access:http://www.i-journals.org/ssy/viewarticle.php?id=69&layout=abstract

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http://www.i-journals.org/ssy/viewarticle.php?id=69&layout=abstract

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