Two types of RG-factorizations of quasi-birth-and-death processes and their applications to stochastic integral functionals

Stochastic Models

Volumn 20, Issue 3, 2004, Pages 299-340

  Li, Quan Lin ^a   Cao, Jinhua ^b  

^a TSINGHUA UNIVERSITY   (China)

^b INSTITUTE OF APPLIED MATHEMATICS   (China)

Author keywords

G measure; Level dependent QBD process; Linear QBD equation; R measure; RG factorization; Stochastic integral functional

Indexed keywords

INTEGRAL EQUATIONS; LAPLACE TRANSFORMS; MATHEMATICAL MODELS; MATRIX ALGEBRA; PROBABILITY; VECTORS;

G-MEASURE; LEVEL DEPENDENT QBD PROCESS; LINEAR QBD-EQUATIONS; R-MEASURE; RG-FACTORIZATION; STOCHASTIC INTEGRAL FUNCTIONAL;

RANDOM PROCESSES;

EID: 4944261900     PISSN: 15326349     EISSN: None     Source Type: Journal    
DOI: 10.1081/STM-200025740     Document Type: Article

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