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李泉林

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期刊论文

Two Types of RG-Factorizations of Quasi-birth-and-death Processes and Their Applications to Stochastic Integral Functionals

李泉林Quan-Lin Li* and Jinhua Cao

STOCHASTIC MODELS Vol. 20, No.3, pp. 299-340, 2004,-0001,():

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摘要/描述

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-, downand 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.

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