Moment characterization of matrix exponential and Markovian arrival processes

Levente Bodrog, András Horváth, Miklós Telek


This paper provides a general framework for establishing the relation between various moments of matrix exponential and Markovian processes. Based on this framework we present an algorithm to compute any finite dimensional moments of these processes based on a set of required (low order) moments. This algorithm does not require the computation of any representation of the given process. We present a series of related results and numerical examples to demonstrate the potential use of the obtained moment relations.

Keywords: Matrix exponential process, Markov arrival process, Matrix exponential distribution, phase type distribution.


[Publications of András Horváth]

András Horváth, 2008-06-25