The correlation function of a queue with Lévy and Markov additive input

DOI10.1016/J.SPA.2019.05.015MaRDI QIDQ2301495zbMATH OpenOpenAlexFDO

Authors Wouter Berkelmans, Agata Cichocka, M. R. H. Mandjes

Publication date 24 February 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.02766

zbMATH Keywords

reflectionMarkov additive processesworkloadLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Queueing theory (aspects of probability theory) (60K25) Continuous-time Markov processes on general state spaces (60J25)

Abstract: Let $(Q_t)$ be a stationary workload process, and $r(t)$ the correlation coefficient of $Q_0$ and $Q_t$. In a series of previous papers (i) the transform of $r(cdot)$ has been derived for the case that the driving process is spectrally-positive (sp) or spectrally-negative (sn) Levy, (ii) it has been shown that for sp-Levy and sn-Levy input $r(cdot)$ is positive, decreasing, and convex, (iii) in case the driving Levy process is light-tailed (a condition that is automatically fulfilled in the sn case), the decay of the decay rate agrees with that of the tail of the busy period distribution. In the present paper we first prove the conjecture that property (ii) carries over to spectrally two-sided Levy processes; we do so for the case the Levy process is reflected at 0, and the case it is reflected at 0 and $K>0$. Then we focus on queues fed by Markov additive processes (maps). We start by the establishing the counterpart of (i) for sp- and sn-maps. Then we refute property (ii) for maps: we construct examples in which the correlation coefficient can be (locally) negative, decreasing, and concave. Finally, in relation to (iii), we point out how to identify the decay rate of $r(cdot)$ in the light-tailed map case, thus showing that the tail behavior of $r(cdot)$ does not necessarily match that of the busy-period tail; singularities related to the transition rate matrix of the background Markov chain turn out to play a crucial role here.

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Cites work

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Cited in

(4)

• Simulation-based computation of the workload correlation function in a Lévy-driven queue
• From reflected Lévy processes to stochastically monotone Markov processes via generalized inverses and supermodularity
• On two classes of reflected autoregressive processes
• On the Correlation Structure of a Lévy-Driven Queue

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