Supplementary variable technique in stochastic models

Citation
As. Alfa et Tsss. Rao, Supplementary variable technique in stochastic models, PROB ENG I, 14(2), 2000, pp. 203-218
Citations number
30
Categorie Soggetti
Engineering Mathematics
Journal title
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES
ISSN journal
02699648 → ACNP
Volume
14
Issue
2
Year of publication
2000
Pages
203 - 218
Database
ISI
SICI code
0269-9648(2000)14:2<203:SVTISM>2.0.ZU;2-T
Abstract
In this article, we formalize the framework for the supplementary variable technique in stochastic models, Specifically, we show that the use of remai ning or elapsed times (or any metric) as supplementary variables leads to t he notion of forward or backward Chapman-Kolmogorov equations, respectively . We further show that for a class of queueing systems, using remaining tim e as the supplementary variable makes analysis simpler.