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

Author

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  • Jiang, Shuxia
  • Latouche, Guy
  • Liu, Yuanyuan

Abstract

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.

Suggested Citation

  • Jiang, Shuxia & Latouche, Guy & Liu, Yuanyuan, 2015. "Wavelet transform for quasi-birth–death process with a continuous phase set," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 354-376.
    • Handle: RePEc:eee:apmaco:v:252:y:2015:i:c:p:354-376
    DOI: 10.1016/j.amc.2014.12.023
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    Cited by:

    1. Shuxia Jiang & Nian Liu & Yuanyuan Liu, 2023. "A Wavelet-Based Computational Framework for a Block-Structured Markov Chain with a Continuous Phase Variable," Mathematics, MDPI, vol. 11(7), pages 1-18, March.

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