Two-parameter sample path large deviations for infinite-server queues

DOI10.1214/12-SSY080MaRDI QIDQ2921188zbMATH OpenOpenAlexFDO

Authors Xinyun Chen, Henry Lam, Jose Blanchet

Publication date 7 October 2014

Published in Stochastic Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.5164, https://projecteuclid.org/euclid.ssy/1411044996

zbMATH Keywords

infinite-server queueslarge deviationslife insurance portfoliorare-event tail estimationrenewal arrival process

Mathematics Subject Classification ID

Large deviations (60F10) Sample path properties (60G17) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22)

Abstract: Let $Q_{lambda}(t,y)$ be the number of people present at time $t$ with $y$ units of remaining service time in an infinite server system with arrival rate equal to $lambda>0$. In the presence of a non-lattice renewal arrival process and assuming that the service times have a continuous distribution, we obtain a large deviations principle for $Q_{lambda}(cdot)/lambda$ under the topology of uniform convergence on $[0,T]imeslbrack0,infty)$. We illustrate our results by obtaining the most likely path, represented as a surface, to ruin in life insurance portfolios, and also we obtain the most likely surfaces to overflow in the setting of loss queues.

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Cites work

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Cited in

(10)

• Two-parameter process limits for infinite-server queues with dependent service times via chaining bounds
• Large deviations and applications for Markovian Hawkes processes with a large initial intensity
• Sample path large deviations for queues with many inputs
• Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
• A large deviations principle for infinite-server queues in a random environment
• A Sample-Path Condition for the Asymptotic Uniform Distribution of Clearing Processes
• scientific article; zbMATH DE number 786528 (Why is no real title available?)
• Rare-event simulation for many-server queues
• The Cramér-Lundberg model with a fluctuating number of clients
• Sample path moderate deviations for shot noise processes in the high intensity regime

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