A first passage problem and its applications to the analysis of a class of stochastic models
Year: 1991
Type: article
Abstract: A problem of the first passage of a cumulative random process with generally distributed discrete or continuous increments over a fixed level is considered in the article as an essential part of the analysis of a class of stochastic models (bulk queueing systems, inventory control and dam models). Using direct probability methods the authors find various characteristics of this problem: the magnitude of the first excess of the process over a fixed level, the shortage before the first excess, the levels of the first and pre‐first excesses, the index of the first excess and others. The results obtained are illustrated by a number of numerical examples and then are applied to a bulk queueing system with a service delay discipline.
Authors: Lev Abolnikov, Jewgeni H. Dshalalow
Institutions: Loyola Marymount University, Florida Institute of Technology
Language: English
Subfield: Management Information Systems
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W2116653060