Stochastic Darboux transformations for quasi-birth-and-death processes and urn models

Quasi - Birth - Death Processes

1 Description of the Model This case study is analog to the one described in [2]. We considered a system consisting of a fixed number of m processors and an infinite queue for storing job requests. The processing speed of a processor is described by the rate γ, while λ describes the incoming rate of new jobs. If a new job arrives while at least one processor is idle, the job will be processed d...

On death processes and urn models

In this work we are concerned with so-called Pólya-Eggenberger urn models, which in the simplest case of two colors can be described as follows. At the beginning, the urn contains n white and m black balls. At every step, we choose a ball at random from the urn, examine its color and put it back into the urn and then add/remove balls according to its color by the following rules: if the ball is...

Level-Dependent Quasi-Birth-and-Death Processes

This article defines and describes the level-dependent quasi-birth-and-death (LDQBD) process, a generalization of the homogeneous (or level-independent) quasi-birth-and-death (QBD) process. Like its level-independent counterpart, the LDQBD process is a bivariate Markov process whose transition probability matrix (or infinitesimal generator matrix) exhibits a block tri-diagonal structure. Howeve...

Quasistationary Distributions for Level-dependent Quasi-birth-and-death Processes

Quasi-Birth-and-Death Processes with Rational Arrival Process Components

In this paper we introduce the concept of a Quasi-Birth-and-Death process (QBD) with Rational Arrival Process components. We use the physical interpretation of a Rational Arrival Process (RAP), developed by Asmussen and Bladt, to consider such a Markov process. We exploit this interpretation to develop an analytic method for such a process, that parallels the analysis of a traditional QBD. We d...