The erlangization method for Markovian fluid flows

The erlangization method for Markovian fluid flows

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Article ID: iaor20091351
Country: Netherlands
Volume: 160
Issue: 1
Start Page Number: 215
End Page Number: 225
Publication Date: Apr 2008
Journal: Annals of Operations Research
Authors: , ,
Keywords: Matrix-analytic methods
Abstract:

For applications of stochastic fluid models, such as those related to wildfire spread and containment, one wants a fast method to compute time dependent probabilities. Erlangization is an approximation method that replaces various distributions at a time t by the corresponding ones at a random time with Erlang distribution having mean t. Here, we develop an efficient version of that algorithm for various first passage time distributions of a fluid flow, exploiting recent results on fluid flows, probabilistic underpinnings, and some special structures. Some connections with a familiar Laplace transform inversion algorithm due to Jagerman are also noted up front.

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