Transient analysis of reflected Lévy processes

DOI10.1016/J.SPL.2013.06.008zbMath1287.60061OpenAlexW1975619602MaRDI QIDQ2435754

Offer Kella, M. R. H. Mandjes

Publication date: 19 February 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.06.008

zbMATH Keywords

Lévy processesqueuestransient analysisWiener-Hopf decomposition

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Queueing theory (aspects of probability theory) (60K25)

Related Items (4)

Transient analysis of one-sided Lévy-driven queues ⋮ Transient analysis of Lévy-driven tandem queues ⋮ Transient analysis of a stationary Lévy-driven queue ⋮ Factorization Identities for Reflected Processes, with Applications

Cites Work

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• NUMERICAL TRANSFORM INVERSION USING GAUSSIAN QUADRATURE
• Simulation-Based Computation of the Workload Correlation Function in a Lévy-Driven Queue
• A Note on Negative Customers, GI/G/1 Workload, and Risk Processes
• A Lévy Process Reflected at a Poisson Age Process

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