Supplementary variable technique in stochastic models

Supplementary variable technique in stochastic models

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Article ID: iaor2001517
Country: United States
Volume: 14
Issue: 2
Start Page Number: 203
End Page Number: 218
Publication Date: Jan 2000
Journal: Probability in the Engineering and Informational Sciences
Authors: ,
Abstract:

In this article, we formalize the framework for the supplementary variable technique in stochastic models. Specifically, we show that the use of remaining or elapsed times (or any metric) as supplementary variables leads to the notion of forward or backward Chapman–Kolmogorov equations, respectively. We further show that for a class of queueing systems, using remaining time as the supplementary variable makes analysis simpler.

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