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Wavelet transform for quasi-birth-death process with a continuous phase set

par Jiang, Shuxia;Latouche, Guy ;Liu, Yuanyuan
Référence Applied mathematics and computation, 252, page (354-376)
Publication Publié, 2015-02

Article révisé par les pairs

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Résumé :

We consider the computational questions which arise when analyzing quasi-birth-death processes with a continuous phase set. We develop a framework based on the wavelet transform and we propose a numerical algorithm for computing the steady-state probabilities based on the fast orthogonal wavelet transform. We conclude with a few examples to illustrate the effectiveness of our numerical algorithm.