On the Reflected Fractional Brownian Motion Process on the Positive Orthant: Asymptotics for a Maximum with Application to Queueing Networks

DOI10.1080/15326341003756437zbMath1208.60050OpenAlexW1976146785MaRDI QIDQ3579003

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

workloadheavy trafficqueueing networkmaximumstate space collapsereflected fractional Brownian motion

Mathematics Subject Classification ID

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

Related Items (5)

Heavy-traffic limit for a feed-forward fluid model with heterogeneous heavy-tailed on/off sources ⋮ Large deviations for high minima of Gaussian processes with nonnegatively correlated increments ⋮ Bounds on exponential moments of hitting times for reflected processes on the positive orthant ⋮ On the Return Time for a Reflected Fractional Brownian Motion Process on the Positive Orthant ⋮ A Geometric Drift Inequality for a Reflected Fractional Brownian Motion Process on the Positive Orthant

Cites Work

• Unnamed Item
• A reflected fBm limit for fluid models with ON/OFF sources under heavy traffic
• State space collapse for asymptotically critical multi-class fluid networks
• An invariance principle for semimartingale reflecting Brownian motions in an orthant
• A storage model with self-similar input
• Extremes of a certain class of Gaussian processes
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• Exact asymptotics for a queue with fractional Brownian input and applications in ATM networks
• Large deviations and overflow probabilities for the general single-server queue, with applications
• Large buffer asymptotics for the queue with fractional Brownian input

This page was built for publication: On the Reflected Fractional Brownian Motion Process on the Positive Orthant: Asymptotics for a Maximum with Application to Queueing Networks