Queues and Lévy fluctuation theory (Q2353890)

At the center of this book are so-called ``Lévy-driven queues'', i.e., some servicing-like devices which are fed by a random input, which is a (general) Lévy process, and the development of a theory which mimics the theory of queues in a classical sense. As the authors say, ``it is not a priori clear what should be understood by such a queue'' because the input can be a Brownian motion and therefore it is neither increasing as the classical arrival counting processes, nor of finite variation. The authors introduce the solution of this queueing process construction via the continuous-time counterpart of the classical Lindley recursion and, additionally, via solving the Skorokhod problem in Section 2.4 rather shortly. This, and the sketchy introduction of Lévy processes in Sections 2.1--2.3, makes it advisable to be familiar with classical queueing theory as can be found in the book of \textit{H. Chen} and \textit{D. D. Yao} [Fundamentals of queueing networks. Performance, asymptotics, and optimization. New York, NY: Springer (2001; Zbl 0992.60003)] on the one side and with Lévy processes and their fluctuation theory as can be found in the book of \textit{A. E. Kyprianou} [Fluctuations of Lévy processes with applications. Introductory lectures. 2nd ed. Berlin: Springer (2014; Zbl 1384.60003)] on the other side. For graduate students and researchers with such a background who want to become acquainted with this modern theory, the book seems to be an interesting introduction into the field of generalized queue-like structures, which as the included chapters on applications show, occur in today's important applications. From the introduction: ``The objective of this textbook is to give a systematic account of the literature of Lévy-driven queues. In addition, we also intend to make the reader familiar with the wide set of techniques that has been developed over the past decades. In this survey, techniques that are highlighted include transform-based techniques, martingales, rate-conservation arguments, change-of-measure, importance sampling, large deviations, and numerical inversion.'' Headings of the chapters: Lévy processes and Lévy-driven queues; Steady-state workload; Transient workload; Heavy traffic; Busy period; Workload correlation function; Stationary workload asymptotics; Transient asymptotics; Simulation of Lévy-driven queues; Variants of the standard queue; Lévy-driven tandem queues; Lévy-driven queueing networks; Applications in communication networks; Applications in mathematical finance; Computational aspects: inversion techniques. Where it applies, the authors distinguish the two cases of spectrally one-sided Lévy process inputs (only positive jumps of the input process and only negative jumps, respectively) and spectrally two-sided input process (jumps in both directions). Each chapter is complemented by a set of exercises which often are concerned with the verification of omitted parts of proofs.