Random walk with a heavy-tailed jump distribution (Q5961048)

Frm the author's abstract: The classical random walk of which the one-step displacement variable \({\mathbf u}\) has a first finite negative moment is considered. It is assumed that the right-hand and/or the left-hand tail of the distribution of \({\mathbf u}\) are heavy-tailed. It is shown that the random walk can serve as a model for the actual waiting process of a GI/G/1 queueing model; in that case the distribution of \({\mathbf u}\) is that of the difference of the service time and the interarrival time. The analysis of the present study then describes the heavy-traffic theory for the case with heavy-tailed service- and/or interarrival time distribution.