Transient analysis of a stationary Lévy-driven queue

DOI10.1016/J.SPL.2015.09.010MaRDI QIDQ900971zbMATH OpenOpenAlexFDO

Authors Jevgenijs Ivanovs, M. R. H. Mandjes

Publication date 23 December 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.05341

zbMATH Keywords

queuessplittingconditioned to stay positiveLévy processes

Mathematics Subject Classification ID

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

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.

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Cites work

• scientific article; zbMATH DE number 1232408 (Why is no real title available?)
• Factorization identities for reflected processes, with applications
• Introductory lectures on fluctuations of Lévy processes with applications.
• On Lévy processes conditioned to stay positive
• On the infimum attained by a reflected Lévy process
• Quasi-Product Forms for Lévy-Driven Fluid Networks
• Quasi-stationary workload in a Lévy-driven storage system
• Queues and Lévy fluctuation theory
• Transient analysis of reflected Lévy processes

Cited in

(17)

• Quasi-stationary workload in a Lévy-driven storage system
• Two coupled Lévy queues with independent input
• Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
• Asymptotic analysis of Lévy-driven tandem queues
• Input estimation from discrete workload observations in a Lévy-driven storage system
• Transient analysis of Lévy-driven tandem queues
• Transient analysis of reflected Lévy processes
• Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues
• On the Correlation Structure of a Lévy-Driven Queue
• Estimating the input of a Lévy-driven queue by Poisson sampling of the workload process
• Asymptotics of the area under the graph of a Lévy-driven workload process
• Transient analysis of one-sided Lévy-driven queues
• Transient error approximation in a Lévy queue
• On the infimum attained by a reflected Lévy process
• A Lévy input model with additional state-dependent services
• Transient Asymptotics of Lévy-Driven Queues
• Simulation-based computation of the workload correlation function in a Lévy-driven queue

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