M. O’Reilly

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20192023

most citedRandom walk on a quadrant: mapping to a one-dimensional level-dependent Quasi-Birth-and-Death process (LD-QBD)

1 citations · 3 across the 6 of their papers we have counts for

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math.PR2019★ 1 cited

Yaglom limit for Stochastic Fluid Models

Nigel G. Bean, Małgorzata M. O'Reilly, Zbigniew Palmowski

In this paper we provide the analysis of the limiting conditional distribution (Yaglom limit) for stochastic fluid models (SFMs), a key class of models in the theory of matrix-anal…

math.PR2019

A discontinuous Galerkin method for approximating the stationary distribution of stochastic fluid-fluid processes

Nigel Bean, Giang T. Nguyen, Malgorzata M. O'Reilly +1

Introduced by Bean and O'Reilly (2014), a stochastic fluid-fluid process is a Markov processes ${X_{t}, Y_{t}, φ_{t}}_{t \geq 0}$ , where the first fluid $X_{t}$ is driven by the Markov c…