Analysis of stochastic fluid queues driven by local-time processes

DOI10.1239/AAP/1231340165zbMATH Open1164.60070arXiv0709.1456OpenAlexW2052225255MaRDI QIDQ3603199FDOQ3603199

Authors: T. Konstantopoulos, A. E. Kyprianou, Marina Sirviö, Paavo Salminen 

Publication date: 16 February 2009

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

Abstract: We consider a stochastic fluid queue served by a constant rate server and driven by a process which is the local time of a certain Markov process. Such a stochastic system can be used as a model in a priority service system, especially when the time scales involved are fast. The input (local time) in our model is always singular with respect to the Lebesgue measure which in many applications is ``close to reality. We first discuss how to rigorously construct the (necessarily) unique stationary version of the system under some natural stability conditions. We then consider the distribution of performance steady-state characteristics, namely, the buffer content, the idle period and the busy period. These derivations are much based on the fact that the inverse of the local time of a Markov process is a L'evy process (a subordinator) hence making the theory of L'evy processes applicable. Another important ingredient in our approach is the Palm calculus coming from the point process point of view.

Full work available at URL: https://arxiv.org/abs/0709.1456

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zbMATH Keywords

local timeperformance analysisfluid queueSkorokhod reflectionPalm calculusinspection paradoxLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stationary stochastic processes (60G10) Queueing theory (aspects of probability theory) (60K25) Stochastic network models in operations research (90B15)

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Cited In (10)

• Transient and Stationary Distributions for Fluid Queues and Input Processes with a Density
• Distribution of busy period in stochastic fluid models1
• On the dynamics and performance of stochastic fluid systems
• Stationary Analysis of a Fluid Queue with Input Rate Varying as an Ornstein–Uhlenbeck Process
• Meromorphic Lévy processes and their fluctuation identities
• Diffusion local time storage
• Integral representation of Skorokhod reflection
• Skorohod-Loynes characterizations of queueing, fluid, and inventory processes
• On the excursions of reflected local-time processes and stochastic fluid queues
• Quasi-Product Forms for Lévy-Driven Fluid Networks

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