Takács' asymptotic theorem and its applications: a survey

DOI10.1007/S10440-008-9337-9zbMATH Open1192.60099arXiv0712.2480OpenAlexW2952242515MaRDI QIDQ966495FDOQ966495

Authors: Vyacheslav Abramov 

Publication date: 23 April 2010

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Abstract: The book of Lajos Tak'acs emph{Combinatorial Methods in the Theory of Stochastic Processes} has been published in 1967. It discusses various problems associated with ${\displaystyle }$ P_{k,i}=mathrm{P}{sup_{1leq nleq ho(i)}(N_n-n)<k-i},leqno(*) ${\displaystyle }$ where $N_n=u_1+u_2\mathrm{...}+u_n$ is a sum of mutually independent, nonnegative integer and identically distributed random variables, $p{i}_j=mathrmP{u}_k=j$, $jgeq0$, $p{i}_0>0$, and $ho(i)$ is the smallest $n$ such that $N_n=n-i$, $igeq1$. (If there is no such $n$, then $ho(i)=infty$.) (*) is a discrete generalization of the classic ruin probability, and its value is represented as $P_{k,i}=Q_{k-i}/Q_k$, where the sequence ${Q_k}_{kgeq0}$ satisfies the recurrence relation of convolution type: $Q_{0}eq0$ and $Q_k=su{m}_{j=0}^{k}p{i}_j{Q}_{k-j+1}$. Since 1967 there have been many papers related to applications of the generalized classic ruin probability. The present survey concerns only with one of the areas of application associated with asymptotic behavior of $Q_k$ as $koinfty$. The theorem on asymptotic behavior of $Q_k$ as $koinfty$ and further properties of that limiting sequence are given on pages 22-23 of the aforementioned book by Tak'acs. In the present survey we discuss applications of Tak'acs' asymptotic theorem and other related results in queueing theory, telecommunication systems and dams. Many of the results presented in this survey have appeared recently, and some of them are new. In addition, further applications of Tak'acs' theorem are discussed.

Full work available at URL: https://arxiv.org/abs/0712.2480

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zbMATH Keywords

queueing theoryasymptotic analysisTauberian theoryapplications of queueing theoryBallot problems

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)

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Cited In (4)

• On the properties of a Takács distribution
• Statistical analysis of single-server loss queueing systems
• Optimal control of a large dam with compound Poisson input and costs depending on water levels
• Crossings states and sets of states in random walks

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