Queues with server vacations and Lévy processes with secondary jump input
A stochastic process is called a Lévy process with secondary jump inputs (JLP) if it is the sum of a Lévy process (LP) and a jump process. It is motivated by models of queues with server vacations. Let \((X_ t)_{t\geq 0}\) be a LP or JLP. Set \(R_ t=X_ t-\inf_{s<t}X_ s.\) Then \((R_ t)_{t\geq 0}\) is called a reflected LP (RLP) or a reflected JLP (RJLP). Some martingales defined on processes of these types are obtained and applied readily to characterize the steady-state distributions, i.e., the limiting one-dimensional distribution of these processes, when the associated LP has no negative jumps. The structures of the steady-state distributions are discussed. Especially, a new proof is provided for the closed form of the steady-state distribution for RLP, which is known as the generalized Pollaczek-Khinchin formula.
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