On the reflected fractional Brownian motion process on the positive orthant: asymptotics for a maximum with application to queueing networks

DOI10.1080/15326341003756437MaRDI QIDQ3579003zbMATH OpenOpenAlexFDO

Authors Rosario Delgado

Publication date 5 August 2010

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326341003756437

zbMATH Keywords

maximumheavy trafficreflected fractional Brownian motionworkloadqueueing networkstate space collapse

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Fractional processes, including fractional Brownian motion (60G22) Queueing theory (aspects of probability theory) (60K25)

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• scientific article; zbMATH DE number 934480
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Cites work

• scientific article; zbMATH DE number 51414 (Why is no real title available?)
• A reflected fBm limit for fluid models with ON/OFF sources under heavy traffic
• A storage model with self-similar input
• An invariance principle for semimartingale reflecting Brownian motions in an orthant
• Exact asymptotics for a queue with fractional Brownian input and applications in ATM networks
• Extremes of a certain class of Gaussian processes
• Large buffer asymptotics for the queue with fractional Brownian input
• Large deviations and overflow probabilities for the general single-server queue, with applications
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• State space collapse for asymptotically critical multi-class fluid networks

Cited in

(5)

• Large deviations for high minima of Gaussian processes with nonnegatively correlated increments
• A geometric drift inequality for a reflected fractional Brownian motion process on the positive orthant
• On the return time for a reflected fractional Brownian motion process on the positive orthant
• Bounds on exponential moments of hitting times for reflected processes on the positive orthant
• Heavy-traffic limit for a feed-forward fluid model with heterogeneous heavy-tailed on/off sources

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