This study proposes a non-homogeneous continuous-time Markov regenerative process with recurrence times,in particular,forward and backward recurrence processes.We obtain the transient solution of the process in the fo...This study proposes a non-homogeneous continuous-time Markov regenerative process with recurrence times,in particular,forward and backward recurrence processes.We obtain the transient solution of the process in the form of a generalized Markov renewal equation.A distinguishing feature is that Markov and semi-Markov processes result as special cases of the proposed model.To model the credit rating dynamics to demonstrate its applicability,we apply the proposed stochastic process to Standard and Poor’s rating agency’s data.Further,statistical tests confirm that the proposed model captures the rating dynamics better than the existing models,and the inclusion of recurrence times significantly impacts the transition probabilities.展开更多
We study the matched queueing system GIoPH/PH/1, where the type-I input is a renewal process, the type-II input is a PH renewal process, and the service times are i. i. d. random variables with PH-distributions. Fir...We study the matched queueing system GIoPH/PH/1, where the type-I input is a renewal process, the type-II input is a PH renewal process, and the service times are i. i. d. random variables with PH-distributions. First, a condition is given for the stationarity of the system. Then the distributions of the number of type-I customers at the arrival epoches of type-I customers and the number of type-I customers at an arbitrary epoch are derived. We also discuss the occupation time and the waiting time. Their L. S. transforms are derived. Finally, we discuss some problems in numerical computation.展开更多
文摘This study proposes a non-homogeneous continuous-time Markov regenerative process with recurrence times,in particular,forward and backward recurrence processes.We obtain the transient solution of the process in the form of a generalized Markov renewal equation.A distinguishing feature is that Markov and semi-Markov processes result as special cases of the proposed model.To model the credit rating dynamics to demonstrate its applicability,we apply the proposed stochastic process to Standard and Poor’s rating agency’s data.Further,statistical tests confirm that the proposed model captures the rating dynamics better than the existing models,and the inclusion of recurrence times significantly impacts the transition probabilities.
文摘We study the matched queueing system GIoPH/PH/1, where the type-I input is a renewal process, the type-II input is a PH renewal process, and the service times are i. i. d. random variables with PH-distributions. First, a condition is given for the stationarity of the system. Then the distributions of the number of type-I customers at the arrival epoches of type-I customers and the number of type-I customers at an arbitrary epoch are derived. We also discuss the occupation time and the waiting time. Their L. S. transforms are derived. Finally, we discuss some problems in numerical computation.
