Transient analysis of reflected Lévy processes

DOI10.1016/J.SPL.2013.06.008MaRDI QIDQ2435754zbMATH OpenOpenAlexFDO

Authors Offer Kella, M. R. H. Mandjes

Publication date 19 February 2014

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

Full work available at URL https://doi.org/10.1016/j.spl.2013.06.008

zbMATH Keywords

Lévy processesqueuestransient analysisWiener-Hopf decomposition

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Queueing theory (aspects of probability theory) (60K25)

Recommendations

• Transient analysis of a stationary Lévy-driven queue
• Queues with Delays in Two-State Strategies and Lévy Input
• On the infimum attained by a reflected Lévy process
• A Lévy Process Reflected at a Poisson Age Process
• The class of distributions associated with the generalized Pollaczek-Khinchine formula

Cites work

• A Lévy Process Reflected at a Poisson Age Process
• A Note on Negative Customers, GI/G/1 Workload, and Risk Processes
• A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
• Applied Probability and Queues
• scientific article; zbMATH DE number 1232408 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Introductory lectures on fluctuations of Lévy processes with applications.
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Numerical techniques in Lévy fluctuation theory
• NUMERICAL TRANSFORM INVERSION USING GAUSSIAN QUADRATURE
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• Queues with negative arrivals
• Simulation-based computation of the workload correlation function in a Lévy-driven queue

Cited in

(12)

• Structural properties of reflected Lévy processes
• On doubly reflected completely asymmetric Lévy processes.
• Factorization identities for reflected processes, with applications
• The class of distributions associated with the generalized Pollaczek-Khinchine formula
• Transient analysis of one-sided Lévy-driven queues
• Queues with Delays in Two-State Strategies and Lévy Input
• Lévy processes with adaptable exponent
• Transient analysis of Lévy-driven tandem queues
• On the infimum attained by a reflected Lévy process
• On concavity of the mean function and stochastic ordering for reflected processes with stationary increments
• Wiener-Hopf factorization, Erlangization and transient solutions in some Markov-modulated queueing models
• Transient analysis of a stationary Lévy-driven queue

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