Moments and tails in monotone-separable stochastic networks.

DOI10.1214/105051604000000044MaRDI QIDQ1879883zbMATH OpenOpenAlexFDO

Authors Francois Baccelli, Sergey Foss

Publication date 15 September 2004

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

Full work available at URL https://arxiv.org/abs/math/0405281

zbMATH Keywords

ergodicityJackson networkVeraverbeke's theorem

Mathematics Subject Classification ID

Large deviations (60F10) Queueing theory (aspects of probability theory) (60K25) Stochastic network models in operations research (90B15)

Abstract: A network belongs to the monotone separable class if its state variables are homogeneous and monotone functions of the epochs of the arrival process. This framework, which was first introduced to derive the stability region for stochastic networks with stationary and ergodic driving sequences, is revisited. It contains several classical queueing network models, including generalized Jackson networks, max-plus networks, polling systems, multiserver queues, and various classes of stochastic Petri nets. Our purpose is the analysis of the tails of the stationary state variables in the particular case of i.i.d. driving sequences. For this, we establish general comparison relationships between networks of this class and the GI/GI/1/infty queue. We first use this to show that two classical results of the asymptotic theory for GI/GI/1/infty queues can be directly extended to this framework. The first one concerns the existence of moments for the stationary state variables. We establish that for all alphageq 1, the (alpha+1)-moment condition for service times is necessary and sufficient for the existence of the alpha-moment for the stationary maximal dater (typically the time to empty the network when stopping further arrivals) in any network of this class. The second one is a direct extension of Veraverbeke's tail asymptotic for the stationary waiting times in the GI/GI/1/infty queue.

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Cited in

(27)

• Large deviations for stochastic fluid networks with Weibullian tails
• The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
• Discrete and continuous time modulated random walks with heavy-tailed increments
• Packet reordering in networks with heavy-tailed delays
• Delay analysis of the max-weight policy under heavy-tailed traffic via fluid approximations
• Sink or swim together: Necessary and sufficient conditions for finite moments of workload components in FIFO multiserver queues
• Asymptotic analysis of Lévy-driven tandem queues
• Moments and tails in monotone-separable stochastic networks.
• Convergence rates in monotone separable stochastic networks
• On the exact asymptotics for the stationary sojourn time distribution in a tandem of queues with light-tailed service times
• Tandem queueing networks with neighbor blocking and back-offs
• A General Class of Closed Fork and Join Queues with Subexponential Service Times
• Tail Asymptotics for Monotone-Separable Networks
• Customer sojourn time in \(GI/GI/1\) feedback queue in the presence of heavy tails
• Validity of heavy traffic steady-state approximations in generalized Jackson networks
• On exceedance times for some processes with dependent increments
• Tails for (max, plus) recursions under subexponentiality
• Asymptotic behavior of generalized processor sharing queues under subexponential assumptions
• Heavy tails in multi-server queue
• Two-node fluid network with a heavy-tailed random input: the strong stability case
• Exact tail asymptotics of a queue with LRD input traffic
• Exact tail asymptotics of a tandem queue with LRD service times
• Tails in generalized Jackson networks with subexponential service-time distributions
• On the transition from heavy traffic to heavy tails for the \(M/G/1\) queue: the regularly varying case
• On the subexponentiality of the ridgelet transform
• Cyclic queueing networks with subexponential service times
• Tandem queues with subexponential service times and finite buffers

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