Time inhomogeneity in longest gap and longest run problems

DOI10.1016/J.SPA.2016.06.018zbMATH Open1395.60009OpenAlexW2192921750MaRDI QIDQ730351FDOQ730351

Authors Jevgenijs Ivanovs, Anders Rønn-Nielsen, Søren Asmussen

Publication date 27 December 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.00579

zbMATH Keywords

delay differential equationPoisson point processtail asymptoticsBernoulli trialscomputer reliabilityheads runs

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Combinatorial probability (60C05) Reliability, testing and fault tolerance of networks and computer systems (68M15)

Abstract: Consider an inhomogeneous Poisson process and let $D$ be the first of its epochs which is followed by a gap of size $ell>0$. We establish a criterion for $D<infty$ a.s., as well as for $D$ being long-tailed and short-tailed, and obtain logarithmic tail asymptotics in various cases. These results are translated into the discrete time framework of independent non-stationary Bernoulli trials where the analogue of $D$ is the waiting time for the first run of ones of length $ell$. A main motivation comes from computer reliability, where $D+ell$ represents the actual execution time of a program or transfer of a file of size $ell$ in presence of failures (epochs of the process) which necessitate restart.

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