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Computing the Invariant Law of a Fluid Model

L. C. G. Rogers and Z. Shi
Journal of Applied Probability
Vol. 31, No. 4 (Dec., 1994), pp. 885-896
DOI: 10.2307/3215314
Stable URL: http://www.jstor.org/stable/3215314
Page Count: 12
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Computing the Invariant Law of a Fluid Model
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Abstract

In this paper, we discuss a variety of methods for computing the Wiener-Hopf factorization of a finite Markov chain associated to a fluctuating additive functional. The importance of this is that the equilibrium law of a fluid model can be expressed in terms of these Wiener-Hopf factors. The diagonalization methods considered are actually quite efficient, and provide an effective solution to the problem.

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