Heavy-tailed random walks, buffered queues and hidden large deviations

DOI10.3150/18-BEJ1081MaRDI QIDQ2278655zbMATH OpenOpenAlexFDO

Publication date 5 December 2019

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1701.07967, https://projecteuclid.org/euclid.bj/1574758822

buffered queues heavy-tails large deviations regular variation

Large deviations (60F10) Functional limit theorems; invariance principles (60F17) Sums of independent random variables; random walks (60G50) Extreme value theory; extremal stochastic processes (60G70)

Abstract: It is well-known that large deviations of random walks driven by independent and identically distributed heavy-tailed random variables are governed by the so-called principle of one large jump. We note that further subtleties hold for such random walks in the large deviation scale which we call hidden large deviation. We apply this idea in the context of queueing processes with heavy-tailed service times and study approximations of severe congestion times for (buffered) queues. We conclude with simulated examples to verify our results.

Review text

Let \((Z_i)_{i\in \mathbb{N}}\) be an independent and identically distributed sequence with \(\alpha\)-regularly varying tails (\(\alpha > 0\)) such that an appropriate tail-balance condition holds. When \(Z_1\) has finite mean assume additionally that the \(Z_i\) are centered. Consider the random walk \((S_n)_{n\in \mathbb{N}}\) defined by \(S_n = \sum_{k=1}^n Z_k\) and its càdlàg embedding \(X^{(n)}\) in the space \(\mathbb{D}\) of càdlàg functions on \([0,1]\), defined by \(X^{(n)}(t) = S_{\lfloor nt \rfloor}\). Let \((\lambda_n)_{n\in \mathbb{N}}\) be a \(\rho\)-regularly varying sequence of real numbers, where \(\rho>1/2\) when \(Z_1\) has finite variance and \(\rho > 1/\alpha\) when \(Z_1\) has infinite variance. For each \(j\in \mathbb{N}\), denote by \(\mathbb{D}_{\leq (j-1)}\) the set of càdlàg step functions on \([0,1]\) with at most \(j-1\) jumps, and let \(\gamma_n^{(j)} := [n P(|Z_1|>\lambda_n)]^{-j}\). The authors then show that \(\gamma_n^{(j)} P(X^{(n)}/\lambda_n \in \cdot)\) converges to a non-degenerate measure \(\mu_j\) as \(n\to\infty\), where the measure \(\mu_j\) is given explicitly. Here, the convergence concept is the so called \(\mathbb{M}_{\mathbb{O}}\)-convergence in the space \(\mathbb{M}_{\mathbb{D}\setminus \mathbb{D}_{\leq (j-1)}}\) of all Borel measures on \(\mathbb{D} \setminus \mathbb{D}_{\leq (j-1)}\) that are bounded away from \(\mathbb{D}_{\leq (j-1)}\). The used \(\mathbb{M}_{\mathbb{O}}\)-convergence concept, which is discussed in detail in [\textit{F. Lindskog} et al., Probab. Surv. 11, 270--314 (2014; Zbl 1317.60007)], is related to the usual concept of weak convergence of measures. The result described above is a hidden large deviation type limit result. For \(j=1\) it corresponds to a large deviation result on the space of càdlàg functions established by \textit{H. Hult} et al. [Ann. Appl. Probab. 15, No. 4, 2651--2680 (2005; Zbl 1166.60309)]. The key point of the proved theorem is that it also works for any \(j\in \mathbb{N}\), hence allowing for hidden large deviations of higher orders when \(j\geq 2\) is considered. The results are then applied in the context of queuing processes with heavy-tailed service times. They are also used to provide probability estimates of rare events governed by more than one large jump in the case of random walks with infinite mean.

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