Factorization identities for reflected processes, with applications

DOI10.1239/JAP/1378401227MaRDI QIDQ2854072zbMATH OpenOpenAlexFDO

Authors Brian Fralix, Johan S. H. van Leeuwaarden, Onno Boxma

Publication date 17 October 2013

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1302.2508, https://projecteuclid.org/euclid.jap/1378401227

zbMATH Keywords

Lévy processPalm distributionrandom walktime-dependent behaviorWiener-Hopf factorization

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Queueing theory (aspects of probability theory) (60K25)

Abstract: We derive factorization identities for a class of preemptive-resume queueing systems, with batch arrivals and catastrophes that, whenever they occur, eliminate multiple customers present in the system. These processes are quite general, as they can be used to approximate Levy processes, diffusion processes, and certain types of growth-collapse processes; thus, all of the processes mentioned above also satisfy similar factorization identities. In the Levy case, our identities simplify to both the well-known Wiener-Hopf factorization, and another interesting factorization of reflected Levy processes starting at an arbitrary initial state. We also show how the ideas can be used to derive transforms for some well-known state-dependent/inhomogeneous birth-death processes and diffusion processes.

Review text

The paper derives a factorization identity for a class of preemptive-resume queueing systems (PRP). These systems can be used to approximate Lévy processes, diffusion processes, and certain types of growth-collapse processes. For an arbitrary PRP system the identity is not a true factorization, but for Lévy processes it is equivalent to the Wiener-Hopf factorization. The results of the paper also provide insight into the time-dependent behavior of a number of important birth-death processes, with birth/death rates that may depend on the state of the system. For instance, it is shown how the probability mass function of the M/M/\(s\) queue length at an independent exponential time can be expressed entirely in terms of quantities from an M/M/\(1\) queue and an M/M/\(\infty \) queue. Similarly, an M/M/\(s\)/\(K\) queue (assuming that \(s < K\), and trivial otherwise) can be expressed in terms of an M/M/\(\infty \) queue and an M/M/\(1\)/\(K - s\) queue, and a similar observation may be made for a Markovian queue with reneging.

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Cited in

(5)

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• On the time-dependent behavior of preemptive single-server queueing systems with Poisson arrivals
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