Conditional limit theorems for regulated fractional Brownian motion
From MaRDI portal
Fractional processes, including fractional Brownian motion (60G22) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Limit theorems in probability theory (60F99)
Abstract: We consider a stationary fluid queue with fractional Brownian motion input. Conditional on the workload at time zero being greater than a large value , we provide the limiting distribution for the amount of time that the workload process spends above level over the busy cycle straddling the origin, as . Our results can be interpreted as showing that long delays occur in large clumps of size of order . The conditional limit result involves a finer scaling of the queueing process than fluid analysis, thereby departing from previous related literature.
Recommendations
Cites work
- scientific article; zbMATH DE number 51414 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 107615 (Why is no real title available?)
- scientific article; zbMATH DE number 934480 (Why is no real title available?)
- scientific article; zbMATH DE number 934481 (Why is no real title available?)
- A limit theorem for the time of ruin in a Gaussian ruin problem
- A storage model with self-similar input
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- An overview of Brownian and non-Brownian FCLTs for the single-server queue
- Characterizing heavy-tailed distributions induced by retransmissions
- Extremes of Gaussian processes over an infinite horizon
- Extremes of a certain class of Gaussian processes
- Heavy tails and long range dependence in on/off processes and associated fluid models
- Heavy traffic limits associated with M/G/\(\infty\) input processes
- Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
- Large buffer asymptotics for the queue with fractional Brownian input
- Large deviations and overflow probabilities for the general single-server queue, with applications
- Large deviations of infinite intersections of events in Gaussian processes
- Large deviations results for subexponential tails, with applications to insurance risk
- Large deviations, moderate deviations, and queues with long-range dependent input
- Limits for cumulative input processes to queues
- Macroscopic models for long-range dependent network traffic
- On the maximum workload of a queue fed by fractional Brownian motion.
- On the prediction of fractional Brownian motion
- Stochastic Calculus for Fractional Brownian Motion I. Theory
Cited in
(8)- On the maximum workload of a queue fed by fractional Brownian motion.
- Maximal Inequalities for Fractional Brownian Motion: An Overview
- Sojourns of fractional Brownian motion queues: transient asymptotics
- Extremes of \(\gamma\)-reflected Gaussian processes with stationary increments
- On the -reflected processes with fBm input
- Large buffer asymptotics for the queue with fractional Brownian input
- Large deviations and long-time behavior of stochastic fluid queues with generalized fractional Brownian motion input
- Approximation of passage times of \(\gamma\)-reflected processes with FBM input
This page was built for publication: Conditional limit theorems for regulated fractional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1049559)
