Tail asymptotics for cumulative processes sampled at heavy-tailed random times with applications to queueing models in Markovian environments

DOI10.15807/JORSJ.56.257MaRDI QIDQ2874899zbMATH OpenOpenAlexFDO

Authors Hiroyuki Masuyama

Publication date 12 August 2014

Published in Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.6574

zbMATH Keywords

samplingqueuetail asymptoticsheavy-tailedMarkovian environmentcumulative process

Mathematics Subject Classification ID

Large deviations (60F10) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Sums of independent random variables; random walks (60G50)

Abstract: This paper considers the tail asymptotics for a cumulative process $B(t);tge0$ sampled at a heavy-tailed random time $T$. The main contribution of this paper is to establish several sufficient conditions for the asymptotic equality $sfP(B(T)>bx)simsfP(M(T)>bx)simsfP(T>x)$ as $xoinfty$, where $M(t)=su{p}_{0leulet}B(u)$ and $b$ is a certain positive constant. The main results of this paper can be used to obtain the subexponential asymptotics for various queueing models in Markovian environments. As an example, using the main results, we derive subexponential asymptotic formulas for the loss probability of a single-server finite-buffer queue with an on/off arrival process in a Markovian environment.

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Cited in

(7)

• Error bounds for augmented truncations of discrete-time block-monotone Markov chains under subgeometric drift conditions
• A MARKOV RENEWAL APPROACH TO THE ASYMPTOTIC DECAY OF THE TAIL PROBABILITIES IN RISK AND QUEUING PROCESSES
• Exact Asymptotics for a Multitimescale Model with Applications in Modeling Overdispersed Customer Streams
• Asymptotic behaviour of a stopping time related to cumulative sum procedures and single-server queues
• Light-tailed asymptotics of \(\mathrm{GI}/\mathrm{G}/1\)-type Markov chains
• A sufficient condition for the subexponential asymptotics of GI/G/1-type Markov chains with queueing applications
• Bounds for the tail distribution in a queue with a superposition of general periodic Markov sources: Theory and application

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