Quasi-birth-and-death processes, level-geometric distributions: an aggregation/disaggregation approach

  • Authors:

  • Ivo Marek

  • Affiliations:

  • Katedra Matematiky, Stavební Fakulta Ceského vysokého ucení technického, Thákurova 7, Praha 1 166 29, Czech Republic

  • Venue:
  • Journal of Computational and Applied Mathematics - Proceedings of the international conference on recent advances in computational mathematics
  • Year:
  • 2003

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Abstract

A special class of homogeneous continuous time quasi-birth and death (QBD) Markov chains (MCs) which possess level-geometric (LG) stationary distribution are considered. A functional analytic approach is applied which provides not only a clear analytic interpretation of the concepts introduced elsewhere but also represents a suitable basis for computations. An iterative aggregation/disaggregation method is proposed as tool for numerical computations.