Busy period analysis, rare events and transient behavior in fluid flow models

DOI10.1155/S1048953394000262MaRDI QIDQ1344648zbMATH OpenOpenAlexWikidataFDO

Authors Søren Asmussen

Publication date 14 November 1995

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/47296

zbMATH Keywords

change of measurefirst passage timeconditional limit theoremMarkov additive processcentral limit estimate for large deviation probabilitieslikelihood ratio identityquick simulations of rare events

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Communication theory (94A05) Queueing theory (aspects of probability theory) (60K25)

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Cited in

(24)

• A reduced-peak equivalence for queues with a mixture of light-tailed and heavy-tailed input flows
• Matrix-analytic methods for the analysis of stochastic fluid-fluid models
• Efficient algorithms for transient analysis of stochastic fluid flow models
• Random walk, birth-and-death process and their fluid approximations: Absorbing case
• Distribution of busy period in stochastic fluid models1
• Flows of rare events for regularly perturbed semi-Markov processes
• Passage times in fluid models with application to risk processes
• A note on martingale inequalities for fluid models
• Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
• Approximations for time-dependent distributions in Markovian fluid models
• Transient Analysis of Fluid Models via Elementary Level-Crossing Arguments
• Fluid Models with Burst Arrivals: A Sample Path Analysis
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Extremes of Markov-additive processes with one-sided jumps, with queueing applications
• The superposition of alternating on-off flows and a fluid model
• A sample path approach to mean busy periods for Markov-modulated queues and fluids
• \(V\)-uniform ergodicity for fluid queues
• Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
• On the overflow time of a fluid model
• A spectral theory approach for extreme value analysis in a tandem of fluid queues
• Erlangian Approximations for the Transient Analysis of a Fluid Queue Model for Forest Fire Perimeter
• Transient analysis of Markov-fluid-driven queues
• Busy periods in fluid queues with multiple emptying input states
• Hitting probabilities in a Markov additive process with linear movements and upward jumps: applications to risk and queueing processes.

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