Factorization identities for reflected processes, with applications

DOI10.1239/JAP/1378401227zbMATH Open1284.60161arXiv1302.2508OpenAlexW2086431207MaRDI QIDQ2854072FDOQ2854072

Authors: Brian Fralix, Johan S. H. van Leeuwaarden, Onno Boxma 

Publication date: 17 October 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Abstract: We derive factorization identities for a class of preemptive-resume queueing systems, with batch arrivals and catastrophes that, whenever they occur, eliminate multiple customers present in the system. These processes are quite general, as they can be used to approximate Levy processes, diffusion processes, and certain types of growth-collapse processes; thus, all of the processes mentioned above also satisfy similar factorization identities. In the Levy case, our identities simplify to both the well-known Wiener-Hopf factorization, and another interesting factorization of reflected Levy processes starting at an arbitrary initial state. We also show how the ideas can be used to derive transforms for some well-known state-dependent/inhomogeneous birth-death processes and diffusion processes.

Full work available at URL: https://arxiv.org/abs/1302.2508

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zbMATH Keywords

random walk[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]Wiener-Hopf factorizationPalm distributiontime-dependent behavior

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Queueing theory (aspects of probability theory) (60K25) Sums of independent random variables; random walks (60G50)

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Cited In (5)

• On classes of Bitcoin-inspired infinite-server queueing systems
• On the time-dependent behavior of preemptive single-server queueing systems with Poisson arrivals
• On the study of the running maximum and minimum level of level-dependent quasi-birth–death processes and related models
• Transient analysis of a stationary Lévy-driven queue
• Different versions of ILU and IUL factorizations obtained from forward and backward factored approximate inverse processes. I

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