Applied probability and queues.
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This book gives an introduction into the mathematics of queueing theory and some related fields like renewal theory on a graduate level. The first edition (Zbl 0624.60098) has been published in 1987. This second edition incorporates additional material including an extended treatment of queueing networks, and matrix-analytic methods as well as a number of additional topics, in particular Poisson's equation, rare events and extreme values for regenerative processes, Skorokhod problems, and Lévy processes. The book is highly recommendable to graduate students having a thorough background in probability theory.
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Cited in
(only showing first 100 items - show all)- A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model
- Steady state approximations of limited processor sharing queues in heavy traffic
- An infinite-server queue influenced by a semi-Markovian environment
- Rare event simulation for T-cell activation
- Equivalent conditions of asymptotics for the density of the supremum of a random walk in the Intermediate case
- On the irrelevant disorder regime of pinning models
- Coxian representations of generalized Erlang distributions
- On upper bounds for the tail distribution of geometric sums of subexponential random variables
- On the stationary distribution of queue lengths in a multi-class priority queueing system with customer transfers
- Estimating the Gumbel scale parameter for local alignment of random sequences by importance sampling with stopping times
- Optimal control of Markovian jump processes with partial information and applications to a parallel queueing model
- Stability criterion of a multiserver model with simultaneous service
- Wiener-Hopf analysis of an M/G/1 queue with negative customers and of a related class of random walks
- A comparison of unconditional and conditional solutions to the maximum likelihood estimation of a change-point.
- Networks and queues: Probabilistic methods
- Fluctuations of Omega-killed spectrally negative Lévy processes
- Bivariate Markov chains converging to Lamperti transform Markov additive processes
- Parisian ruin for the dual risk process in discrete-time
- Approximation for portfolio optimization in a financial market with shot-noise jumps
- An approximation analysis for an assembly-like queueing system with time-constraint items
- Deep factorisation of the stable process. II: Potentials and applications
- On preemptive-repeat LIFO queues
- Personalized queues: the customer view, via a fluid model of serving least-patient first
- A rate balance principle and its application to queueing models
- Quenched phantom distribution functions for Markov chains
- Banach contraction principle and ruin probabilities in regime-switching models
- An algorithmic analysis of the BMAP/MSP/1 generalized processor-sharing queue
- Random partitions of the plane via Poissonian coloring and a self-similar process of coalescing planar partitions
- Reliability of a multi-state system subject to shocks using phase-type distributions
- A generalization of Gerber's inequality for ruin probabilities in risk-switching models
- Queueing systems with correlated arrival flows and their applications to modeling telecommunication networks
- Dominant poles and tail asymptotics in the critical Gaussian many-sources regime
- A functional central limit theorem for Markov additive arrival processes and its applications to queueing systems
- Clusters of extremes: modeling and examples
- Stochastic stability of monotone economies in regenerative environments
- An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
- Approximation of ruin probabilities via Erlangized scale mixtures
- Stationary analysis of a single queue with remaining service time-dependent arrivals
- The distribution of discounted compound PH-renewal processes
- A blood bank model with perishable blood and demand impatience
- Computing conditional sojourn time of a randomly chosen tagged customer in a BMAP/MSP/1 queue under random order service discipline
- Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift
- Spectrally negative Lévy risk model under Erlangized barrier strategy
- A note on a Lévy insurance risk model under periodic dividend decisions
- Linear autonomous compartmental models as continuous-time Markov chains: transit-time and age distributions
- Asymptotics for the solutions to defective renewal equations
- Semi-heavy tails
- Strict monotonicity and continuity of mean unfinished work in two queues sharing a server
- Diffusion limits for the $(MAP_t / Ph_t / \infty)^N$ queueing network
- Optimal stationary appointment schedules
- Conditioned real self-similar Markov processes
- Self-stabilizing repeated balls-into-bins
- Ergodicity of an SPDE associated with a many-server queue
- An IBNR-RBNS insurance risk model with marked Poisson arrivals
- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- Regular variation of a random length sequence of random variables and application to risk assessment
- Customer sojourn time in \(GI/GI/1\) feedback queue in the presence of heavy tails
- Comparing short-memory charts to monitor the traffic intensity of single server queues
- Limit theorems for mixed max-sum processes with renewal stopping
- Central limit theorem for the size of the range of a renewal process
- Existence and uniqueness of a fluid model for many-server queues with abandonment
- Analysis of single-server queue with phase-type service and energy harvesting
- Fluctuation theory for Markov random walks
- A preventive maintenance policy for a continuously monitored system with correlated wear indicators
- Queues in tandem with customer deadlines and retrials
- Fluid models of many-server queues with abandonment
- Limiting distribution for a simple model of order book dynamics
- Sojourn time asymptotics in a parking lot network
- Lévy systems and the time value of ruin for Markov additive processes
- Threshold dividend strategies for a Markov-additive risk model
- Estimates for the tail probability of the supremum of a random walk with independent increments
- Stability analysis of a two-station cascade queueing network
- SPDE limits of many-server queues
- Sharp benefit-to-cost rules for the evolution of cooperation on regular graphs
- The maximum severity of ruin in a perturbed risk process with Markovian arrivals
- Nonparametric inference for stochastic feedforward networks based on cross-spectral analysis of point processes
- Regenerative block-bootstrap confidence intervals for tail and extremal indexes
- On quenched and annealed critical curves of random pinning model with finite range correlations
- The scaling limits of a heavy tailed Markov renewal process
- Analysis of the queuing systems with processor sharing service discipline and random serving rate coefficients
- Stability condition of a multi-class modified Erlang system
- A note on a limit interchange for many-server queues
- A broad view of queueing theory through one issue
- Discretization error for a two-sided reflected Lévy process
- Hypothesis testing for a Lévy-driven storage system by Poisson sampling
- Heavy tails for an alternative stochastic perpetuity model
- Delay analysis and optimality of the renewal access protocol
- Renewal theorems and their application in fractal geometry
- Limit distributions of the upper order statistics for the Lévy-frailty Marshall-Olkin distribution
- Averaging principles for Markovian models of plasticity
- Precise large deviations for dependent subexponential variables
- Compound Poisson approximation for regularly varying fields with application to sequence alignment
- Scaling limits of multi-type Markov branching trees
- Precise large deviations for sums of claim-size vectors in a two-dimensional size-dependent renewal risk model
- Large deviations in discrete-time renewal theory
- Workload distributions in ASIP queueing networks
- Extremal \(GI/GI/1\) queues given two moments: exploiting Tchebycheff systems
- On scale functions for Lévy processes with negative phase-type jumps
- Queueing systems with random volume customers and a sectorized unlimited memory buffer
- Precise asymptotics of some meeting times arising from the voter model on large random regular graphs
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