On upper bounds for the tail distribution of geometric sums of subexponential random variables

DOI10.1007/S11134-009-9125-XMaRDI QIDQ1039620zbMATH OpenOpenAlexFDO

Authors Andrew Richards

Publication date 23 November 2009

Published in Queueing Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0805.4548

zbMATH Keywords

upper boundssubexponential distributiongeometric sumGI/GI/1

Mathematics Subject Classification ID

Queues and service in operations research (90B22)

Abstract: The approach used by Kalashnikov and Tsitsiashvili for constructing upper bounds for the tail distribution of a geometric sum with subexponential summands is reconsidered. By expressing the problem in a more probabilistic light, several improvements and one correction are made, which enables the constructed bound to be significantly tighter. Several examples are given, showing how to implement the theoretical result.

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Cited in

(3)

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• How to measure the accuracy of the subexponential approximation for the stationary single server queue
• Upper bounds for the maximum of a random walk with negative drift

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