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Discretization of Markovian Queueing Systems

Böhm, Walter and Mohanty, Sri Gopal (1990) Discretization of Markovian Queueing Systems. Forschungsberichte / Institut für Statistik, 4. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.

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Abstract

Recently it turned out, that discretizing the time in a markovian queueing model makes it possible to apply powerfull combinatorid methods which often yield surprisingly simple answeres to complicated questions. In this paper we show that the continuous time solution of a markovian queueing model may be obtain from the solution of its discrete time analogue by a simple limiting procedure. Under mild regularity conditions these limiting forms can be shown to be the unique solutions of Kolmogorov's backward differential equations. Furthermore some additional methodological results concerning taboo probabilities and first passage densities are obtained. In a final section some examples are given. (author's abstract)

Item Type: Paper
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 11 Jul 2006 08:32
Last Modified: 09 Jul 2015 08:57
URI: http://epub.wu.ac.at/id/eprint/140

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