POLLING SYSTEM WITH TWO MARKOVIAN ARRIVAL PROCESSES, FINITE BUFFERS AND PHASE TYPE DISTRIBUTION OF SERVICE AND SWITCHING TIMES

2021 ◽  
pp. 85-91
Author(s):  
A.N. Dudin ◽  
Y.V. Sinyugina
Keyword(s):  
Polling System ◽  
Phase Type Distribution ◽  
Finite Buffers ◽  
Type Distribution ◽  
Switching Times ◽  
Phase Type ◽  
Arrival Processes

A Note on Characterizing Service Interruptions with Phase-Type Distribution

2013 ◽  
Vol 31 (4) ◽  
pp. 671-683 ◽  
Author(s):  
A. Krishnamoorthy ◽  
P. K. Pramod ◽  
S. R. Chakravarthy
Keyword(s):  
Phase Type Distribution ◽  
Type Distribution ◽  
Service Interruptions ◽  
Phase Type

scholarly journals A generalized class of correlated run shock models

2018 ◽  
Vol 6 (1) ◽  
pp. 131-138 ◽  
Author(s):  
Femin Yalcin ◽  
Serkan Eryilmaz ◽  
Ali Riza Bozbulut
Keyword(s):  
Stopping Time ◽  
Random Variables ◽  
Random Variable ◽  
Phase Type Distribution ◽  
Type Distribution ◽  
Shock Models ◽  
Phase Type ◽  
Over Time

AbstractIn this paper, a generalized class of run shock models associated with a bivariate sequence {(Xi, Yi)}i≥1 of correlated random variables is defined and studied. For a system that is subject to shocks of random magnitudes X1, X2, ... over time, let the random variables Y1, Y2, ... denote times between arrivals of successive shocks. The lifetime of the system under this class is defined through a compound random variable T = ∑Nt=1 Yt , where N is a stopping time for the sequence {Xi}i≤1 and represents the number of shocks that causes failure of the system. Another random variable of interest is the maximum shock size up to N, i.e. M = max {Xi, 1≤i≤ N}. Distributions of T and M are investigated when N has a phase-type distribution.

Presentation of phase-type distributions as proper mixtures

1985 ◽  
Vol 22 (01) ◽  
pp. 247-250 ◽  
Author(s):  
David Assaf ◽  
Naftali A. Langberg
Keyword(s):  
Phase Type Distribution ◽  
Type Distribution ◽  
Phase Type ◽  
Phase Type Distributions

It is shown that any phase-type distribution can be represented as a proper mixture of two distinct phase-type distributions. Using different terms, it is shown that the class of phase-type distributions does not include any extreme ones. A similar result holds for the subclass of upper-triangular phase-type distributions.

scholarly journals Ruin Probability for Stochastic Flows of Financial Contract under Phase-Type Distribution

Risks ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 53
Author(s):  
Franck Adékambi ◽  
Kokou Essiomle
Keyword(s):  
Ruin Probability ◽  
Upper And Lower Bounds ◽  
Ruin Probabilities ◽  
Adjustment Coefficient ◽  
Phase Type Distribution ◽  
Type Distribution ◽  
Andersen Model ◽  
Phase Type ◽  
Financial Contract ◽  
The Impact

This paper examines the impact of the parameters of the distribution of the time at which a bank’s client defaults on their obligated payments, on the Lundberg adjustment coefficient, the upper and lower bounds of the ruin probability. We study the corresponding ruin probability on the assumption of (i) a phase-type distribution for the time at which default occurs and (ii) an embedding of the stochastic cash flow or the reserves of the bank to the Sparre Andersen model. The exact analytical expression for the ruin probability is not tractable under these assumptions, so Cramér Lundberg bounds types are obtained for the ruin probabilities with concomitant explicit equations for the calculation of the adjustment coefficient. To add some numerical flavour to our results, we provide some numerical illustrations.

Phase-type distributions and invariant polytopes

1991 ◽  
Vol 23 (3) ◽  
pp. 515-535 ◽  
Author(s):  
Colm Art O'Cinneide
Keyword(s):  
Lower Bounds ◽  
Stieltjes Transform ◽  
Phase Type Distribution ◽  
Type Distribution ◽  
Natural Approach ◽  
Phase Type ◽  
Phase Type Distributions ◽  
Real Poles

The notion of an invariant polytope played a central role in the proof of the characterization of phase-type distributions. The purpose of this paper is to develop invariant polytope techniques further. We derive lower bounds on the number of states needed to represent a phase-type distribution based on poles of its Laplace–Stieltjes transform. We prove that every phase-type distribution whose transform has only real poles has a bidiagonal representation. We close with three short applications of the invariant polytope idea. Taken together, the results of this paper show that invariant polytopes provide a natural approach to many questions about phase-type distributions.

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