Quasi-Product Forms for Lévy-Driven Fluid Networks

DOI10.1287/MOOR.1070.0259MaRDI QIDQ5388052zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Krzysztof Dȩbicki, A. B. Dieker, Tomasz Rolski

Publication date 27 May 2008

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0512119

zbMATH Keywords

\(n\)-dimensional Lévy processbuffer contentbusy periodidle periodLévy-driven fluid networkmultidimensional Skorokhod problemquasi-product formsplitting timetree fluid network

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Queueing theory (aspects of probability theory) (60K25) Stochastic network models in operations research (90B15)

Abstract: We study stochastic tree fluid networks driven by a multidimensional Levy process. We are interested in (the joint distribution of) the steady-state content in each of the buffers, the busy periods, and the idle periods. To investigate these fluid networks, we relate the above three quantities to fluctuations of the input Levy process by solving a multidimensional Skorokhod reflection problem. This leads to the analysis of the distribution of the componentwise maximums, the corresponding epochs at which they are attained, and the beginning of the first last-passage excursion. Using the notion of splitting times, we are able to find their Laplace transforms. It turns out that, if the components of the Levy process are `ordered', the Laplace transform has a so-called quasi-product form. The theory is illustrated by working out special cases, such as tandem networks and priority queues.

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• Asymptotic analysis of Lévy-driven tandem queues
• A tandem fluid network with Lévy input in heavy traffic
• Stability and nonproduct form of stochastic fluid networks with Lévy inputs
• Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues
• Tail asymptotics for a Lévy-driven tandem queue with an intermediate input
• Tandem Brownian queues
• Non-product form of two-dimensional fluid networks with dependent Lévy inputs
• Analysis of stochastic fluid queues driven by local-time processes
• Transient analysis of Lévy-driven tandem queues
• Markov modulated fluid network process: tail asymptotics of the stationary distribution
• Running supremum of Brownian motion in dimension 2: exact and asymptotic results
• Synchronized Lévy queues
• Two coupled Lévy queues with independent input
• Extremes of Markov-additive processes with one-sided jumps, with queueing applications
• Applications of factorization embeddings for Lévy processes
• On a class of Lévy stochastic networks
• Comments on: Light tail asymptotics in multidimensional reflecting processes for queueing networks
• Sensitivity analysis for diffusion processes constrained to an orthant
• Steady-state simulation of reflected Brownian motion and related stochastic networks
• Transient analysis of a stationary Lévy-driven queue

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