Tail behaviour of the area under a random process, with applications to queueing systems, insurance and percolations
From MaRDI portal
Publication:383194
DOI10.1007/s11134-011-9242-1zbMath1275.60037arXiv1102.1095OpenAlexW2118574840MaRDI QIDQ383194
Zbigniew Palmowski, Rafał Kulik
Publication date: 25 November 2013
Published in: Queueing Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1102.1095
Queueing theory (aspects of probability theory) (60K25) General theory of stochastic processes (60G07)
Related Items (4)
Tail asymptotics for busy periods ⋮ Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments ⋮ Local asymptotics for the area under the random walk excursion ⋮ Statistics of the first passage area functional for an Ornstein–Uhlenbeck process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Implicit renewal theory and tails of solutions of random equations
- Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
- Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
- Refracted Lévy processes
- Asymptotic analysis of Lévy-driven tandem queues
- Random difference equations and renewal theory for products of random matrices
- On the area swept under the occupation process of an \(M/M/1\) queue in a busy period
- On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
- On the optimal dividend problem for a spectrally negative Lévy process
- Tandem Brownian queues
- Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times
- Tail asymptotics for exponential functionals of Lévy processes
- Large deviation asymptotics and control variates for simulating large functions
- Tail behaviour of the area under the queue length process of the single server queue with regularly varying service times
- Tail Asymptotics for the Busy Period in the GI/G/1 Queue
- On the integral of the workload process of the single server queue
- On a random area variable arising in discrete-time queues and compact directed percolation
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- Control Techniques for Complex Networks
- On the quasi-stationary distribution of the virtual waiting time in queues with Poisson arrivals
- Large Deviations of Square Root Insensitive Random Sums
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
This page was built for publication: Tail behaviour of the area under a random process, with applications to queueing systems, insurance and percolations