A successive censoring algorithm for a system of connected LDQBD-processes

Abstract

We consider a Markov Chain in which the state space is partitioned into sets where both transitions within sets and between sets have a special structure. Transitions within each set constitute a finite Quasi-Birth-and-Death-process, and transitions between sets are restricted to four types of transitions. We present a successive censoring algorithm, based on Matrix Analytic Methods, to obtain the stationary distribution of this system of connected QBD-processes.