Transient analysis of a stationary Lévy-driven queue
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Publication:900971
DOI10.1016/J.SPL.2015.09.010zbMATH Open1356.60145arXiv1506.05341OpenAlexW1944224852MaRDI QIDQ900971FDOQ900971
Authors: Jevgenijs Ivanovs, M. R. H. Mandjes 
Publication date: 23 December 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Abstract: In this paper we study a queue with L'evy input, without imposing any a priori assumption on the jumps being one-sided. The focus is on computing the transforms of all sorts of quantities related to the transient workload, assuming the workload is in stationarity at time 0. The results are simple expressions that are in terms of the bivariate Laplace exponents of ladder processes. In particular, we derive the transform of the minimum workload attained over an exponentially distributed interval.
Full work available at URL: https://arxiv.org/abs/1506.05341
Recommendations
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Cited In (17)
- Asymptotic analysis of Lévy-driven tandem queues
- Transient analysis of reflected Lévy processes
- Transient analysis of Lévy-driven tandem queues
- Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues
- Transient analysis of one-sided Lévy-driven queues
- Estimating the input of a Lévy-driven queue by Poisson sampling of the workload process
- On the infimum attained by a reflected Lévy process
- Transient error approximation in a Lévy queue
- Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
- A Lévy input model with additional state-dependent services
- Two coupled Lévy queues with independent input
- Input estimation from discrete workload observations in a Lévy-driven storage system
- On the Correlation Structure of a Lévy-Driven Queue
- Quasi-stationary workload in a Lévy-driven storage system
- Transient Asymptotics of Lévy-Driven Queues
- Asymptotics of the area under the graph of a Lévy-driven workload process
- Simulation-based computation of the workload correlation function in a Lévy-driven queue
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