Markov processes whose steady state distribution is matrix-exponential with an application to theGI/PH/1 queue

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Abstract
This paper is concerned with a bivariate Markov process {Xt, Nt;t≧ 0} with a special structure. The processXtmay either increase linearly or have jump (downward) discontinuities. The processXttakes values in [0,∞) andNttakes a finite number of values. With these and additional assumptions, we show that the steady state joint probability distribution of {Xt, Nt;t≧ 0} has a matrix-exponential form. A rate matrixT(which is crucial in determining the joint distribution) is the solution of a non-linear matrix integral equation. The work in this paper is a continuous analog of matrix-geometric methods, which have gained widespread use of late. Using this theory, we present a new and considerably simplified characterization of the waiting time and queue length distributions in aGI/PH/1 queue. Finally, we show that the Markov process can be used to study an inventory system subject to seasonal fluctuations in supply and demand.