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The analysis of cyclic stochastic fluid flows with time-varying transition rates

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We consider a stochastic fluid model (SFM) \(\{(\widehat{X}(t),J(t)),t\ge 0\}\) driven by a continuous-time Markov chain \(\{J(t),t\ge 0 \}\) with a time-varying generator \(T(t)\) and cycle of length 1 such that \(T(t)=T(t+1)\) for all \(t\ge 0\). We derive theoretical expressions for the key periodic measures for the analysis of the model, and develop efficient methods for their numerical computation. We illustrate the theory with numerical examples. This work is an extension of the results in Bean et al.  (Stoch. Models 21(1):149–184, 2005) for a standard SFM with time-homogeneous generator, and suggests a possible alternative approach to that developed by Yunan and Whitt (Queueing Syst. 71(4):405–444, 2012).

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The authors would like to thank the anonymous referees for their helpful suggestions. Also, Małgorzata O’Reilly would like to thank the Australian Research Council for funding this research through Discovery Project DP110101663.

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Margolius, B., O’Reilly, M.M. The analysis of cyclic stochastic fluid flows with time-varying transition rates. Queueing Syst 82, 43–73 (2016).

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