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

DOI10.1080/15326349208807233zbMATH Open0762.60086OpenAlexW2087021013MaRDI QIDQ4021154FDOQ4021154

David Perry, Søren Asmussen

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

Recommendations

• Extreme value theory for queues via cycle maxima
• Heavy-traffic extreme-value limits for queues
• On the extreme values of \(M/M/m\) queueing systems
• Maximum values in queueing processes
• On extreme values in open queueing networks

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)

Cited In (17)

• 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
• First-exit times for compound poisson processes for some types of positive and negative jumps
• On the Cycle Maximum of Mountains, Dams and Queues
• ON AN EQUIVALENCE BETWEEN LOSS RATES AND CYCLE MAXIMA IN QUEUES AND DAMS
• On the Upcrossing and Downcrossing Probabilities of a Dual Risk Model With Phase-Type Gains
• Rare events in queueing systems -- A survey
• Mathematical model of banking operation
• A heavy-traffic expansion for asymptotic decay rates of tail probabilities in multichannel queues
• Maximum values in queueing processes
• Poisson's equation for queues driven by a Markovian marked point process
• Patterns of buffer overflow in a class of queues with long memory in the input stream
• Parisian ruin in the dual model with applications to the \(G/M/1\) queue
• Markov Renewal Methods in Restart Problems in Complex Systems
• Rejection rules in the \(M/G/1\) queue
• Ladder height distributions with marks
• Stopping problems for compound processes with applications to queues

This page was built for publication: On cycle maxima, first passage problems and extreme value theory for queues

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4021154)