Abstract
In this paper, we provide UL-type and LU-type RG-factorizations for an irreducible continuous-time level-dependent quasi-birth-and-death (QBD) process with either finitely-many levels or infinitely-many levels, and then apply the RG-factorizations to solve a class of linear QBD-equations, which is always crucial for analyzing a stochastic model described as a QBD process. Based on the results obtained for the linear QBD-equations, we analyze up-, down- and return-integral functionals. We explicitly express the Laplace transforms of the conditional distributions of the three types of stochastic integral functionals and their conditional moments.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.