THE RUNNING MAXIMUM OF A LEVEL-DEPENDENT QUASI-BIRTH-DEATH PROCESS

Abstract

The objective of this note is to study the distribution of the running maximum of the level in a level-dependent quasi-birth-death process. By considering this running maximum at an exponentially distributed “killing epoch” T, we devise a technique to accomplish this, relying on elementary arguments only; importantly, it yields the distribution of the running maximum jointly with the level and phase at the killing epoch. We also point out how our procedure can be adapted to facilitate the computation of the distribution of the running maximum at a deterministic (rather than an exponential) epoch.