Transient analysis of one-sided Lévy-driven queues
نویسندگان
چکیده
منابع مشابه
Asian Options Under One-Sided Lévy Models
We generalize, in terms of power series, the celebrated Geman-Yor formula for the pricing of Asian options in the framework of spectrally negative Lévy-driven assets. We illustrate our result by providing some new examples.
متن کاملTransient Asymptotics of Lévy-driven Queues
With (Qt )t denoting the stationary workload process in a queue fed by a Lévy input process (Xt )t , this paper focuses on the asymptotics of rare event probabilities of the type P(Q0 > pB, QTB > qB) for given positive numbers p and q, and a positive deterministic function TB . We first identify conditions under which the probability of interest is dominated by the ‘most demanding event’, in th...
متن کاملAnalysis of transient queues with semidefinite optimization
We derive upper bounds on the tail distribution of the transient waiting time in the GI/GI/1 queue, given a truncated sequence of the moments of the service time and that of the interarrival time. Our upper bound is given as the objective value of the optimal solution to a semidefinite program (SDP) and can be calculated numerically by solving the SDP. We also derive the upper bounds in closed ...
متن کاملOne-Sided Interval Trees
We give an alternative treatment and extension of some results of Itoh and Mahmoud on one-sided interval trees. The proofs are based on renewal theory, including a case with mixed multiplicative and additive renewals.
متن کاملQueues with Lévy input and hysteretic control
We consider a (doubly) reflected Lévy process where the Lévy exponent is controlled by a hysteretic policy consisting of two stages. In each stage there is typically a different service speed, drift parameter, or arrival rate. We determine the steadystate performance, both for systems with finite and infinite capacity. Thereby, we unify and extend many existing results in the literature focusin...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Models
سال: 2016
ISSN: 1532-6349,1532-4214
DOI: 10.1080/15326349.2016.1170615