Simulation-Based Computation of the Workload Correlation Function in a Lévy-Driven Queue

DOI10.1239/jap/1300198139zbMath1213.60147OpenAlexW2010023556MaRDI QIDQ5391085

Peter W. Glynn, M. R. H. Mandjes

Publication date: 5 April 2011

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

Full work available at URL: https://doi.org/10.1239/jap/1300198139

zbMATH Keywords

simulationreflectionimportance samplingcorrelation functionLévy processcouplingworkload process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Queueing theory (aspects of probability theory) (60K25)

Related Items

From reflected Lévy processes to stochastically monotone Markov processes via generalized inverses and supermodularity ⋮ Quasi-Stationary Workload in a Lévy-Driven Storage System ⋮ Estimation of the workload correlation in a Markov fluid queue ⋮ Transient analysis of reflected Lévy processes ⋮ Numerical techniques in Lévy fluctuation theory ⋮ On two classes of reflected autoregressive processes ⋮ The correlation function of a queue with Lévy and Markov additive input ⋮ A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes ⋮ Exact tail asymptotics of the supremum attained by a Lévy process

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