On cycle maxima, first passage problems and extreme value theory for queues

DOI10.1080/15326349208807233MaRDI QIDQ4021154zbMATH OpenOpenAlexFDO

Authors Søren Asmussen, David Perry

Publication date 17 January 1993

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349208807233

zbMATH Keywords

extreme value theorysemi-regenerative processesclass-dependent phase-type service timesmaximum virtual waitingsteady state solutions of queues

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)

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Cited in

(18)

• Stopping problems for compound processes with applications to queues
• Rejection rules in the \(M/G/1\) queue
• ON AN EQUIVALENCE BETWEEN LOSS RATES AND CYCLE MAXIMA IN QUEUES AND DAMS
• Markov Renewal Methods in Restart Problems in Complex Systems
• Parisian ruin in the dual model with applications to the \(G/M/1\) queue
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails
• A heavy-traffic expansion for asymptotic decay rates of tail probabilities in multichannel queues
• On the cycle maximum of birth-death processes and networks of queues
• On the Cycle Maximum of Mountains, Dams and Queues
• Patterns of buffer overflow in a class of queues with long memory in the input stream
• First-exit times for compound poisson processes for some types of positive and negative jumps
• Ladder height distributions with marks
• Rare events in queueing systems -- A survey
• Maximum values in queueing processes
• Poisson's equation for queues driven by a Markovian marked point process
• Mathematical model of banking operation
• On the upcrossing and downcrossing probabilities of a dual risk model with phase-type gains

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