Exact buffer overflow calculations for queues via martingales

DOI10.1023/A:1019994728099zbMath1035.90018OpenAlexW1690271679MaRDI QIDQ1851010

Manfred Jobmann, Hans-Peter Schwefel, Soren Asmussen

Publication date: 15 December 2002

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1019994728099

zbMATH Keywords

martingalelocal timeregenerative processLévy processextreme value theoryqueue lengthMarkov-modulationexponential martingalepower tailWald martingale

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Generalizations of martingales (60G48) Continuous-time Markov processes on discrete state spaces (60J27) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (10)

Exit Problems for Reflected Markov-Modulated Brownian Motion ⋮ Calculation of ruin probabilities for a dense class of heavy tailed distributions ⋮ A unified method of analysis for queues with Markovian arrivals ⋮ Buffer overflow period in a MAP queue ⋮ Time to Reach Buffer Capacity in aBMAPQueue ⋮ Lévy Processes with Two-Sided Reflection ⋮ Availability of inspected systems subject to shocks - A matrix algorithmic approach ⋮ Large deviations and fast simulation in the presence of boundaries. ⋮ The expected time to ruin in a risk process with constant barrier via martingales ⋮ ON TIME-TO-BUFFER OVERFLOW DISTRIBUTION IN A SINGLE-MACHINE DISCRETE-TIME SYSTEM WITH FINITE CAPACITY

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