Tail asymptotics for a random sign Lindley recursion

DOI10.1239/JAP/1269610817MaRDI QIDQ3550989zbMATH OpenOpenAlexFDO

Authors Zbigniew Palmowski, M. Vlasiou

Publication date 8 April 2010

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

Full work available at URL https://arxiv.org/abs/0808.3495

zbMATH Keywords

Cramér conditionsintermediate tailsharp asymptoticsstochastic recursionsubexponential distribution

Mathematics Subject Classification ID

Large deviations (60F10) Queueing theory (aspects of probability theory) (60K25)

Abstract: We investigate the tail behaviour of the steady state distribution of a stochastic recursion that generalises Lindley's recursion. This recursion arises in queuing systems with dependent interarrival and service times, and includes alternating service systems and carousel storage systems as special cases. We obtain precise tail asymptotics in three qualitatively different cases, and compare these with existing results for Lindley's recursion and for alternating service systems.

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Cited in

(5)

• A new approach to the Lindley recursion
• On recurrence of the multidimensional Lindley process
• A multiplicative version of the Lindley recursion
• A Lévy input model with additional state-dependent services
• Queues with service times and interarrival times depending linearly and randomly upon waiting times

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