Tail asymptotics for the maximum of perturbed random walk (Q862212): Difference between revisions
From MaRDI portal
m rollbackEdits.php mass rollback Tag: Rollback |
Set OpenAlex properties. |
||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W3100822211 / rank | |||
Normal rank |
Revision as of 09:36, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Tail asymptotics for the maximum of perturbed random walk |
scientific article |
Statements
Tail asymptotics for the maximum of perturbed random walk (English)
0 references
5 February 2007
0 references
A perturbed random walk with a negative drift is considered. The main goal of the given approach is to compute the distribution of the all-time maximum \(M_{\infty} = \max\{S_{k} + \xi_{k}: k \geq 0\}\) of a perturbed random walk with a negative drift. The quantity \(M_{\infty}\) describes the steady-state of end-to-end delay time in a computer network modeling, as well as order-to-delivery time in a make-to-order production system, insurance risk evaluation, etc. As main results, the asymptotics for \(\mathbb{P}(M_{\infty} > x)\) as \(x \rightarrow \infty\) is obtained. It is derived that the tail asymptotics depend on whether the \(\xi_{n}\)'s are light- or heavy-tailed. Additionally, in the light-tailed setting, the tail asymptotic is closely related to the Cramér-Lundberg asymptotic for standard random walk.
0 references
queueing theory
0 references
functional limit theorems
0 references
performance evaluation
0 references
queues and service
0 references
random walks
0 references
traffic problems
0 references