Convergence of the all-time supremum of a Levy process in the heavy-traffic regime.

O. Boxma; K. Kosinski; A.P. Zwart

doi:10.1007/s11134-011-9215-4

Convergence of the all-time supremum of a Levy process in the heavy-traffic regime.

O. Boxma, K. Kosinski, A.P. Zwart

Mathematics

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

In this paper we derive a technique for obtaining limit theorems for suprema of Lévy processes from their random walk counterparts. For each a>0, let {Y

Original language	English
Pages (from-to)	295-304
Journal	Queueing Systems
Volume	67
DOIs	https://doi.org/10.1007/s11134-011-9215-4
Publication status	Published - 2011

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title = "Convergence of the all-time supremum of a Levy process in the heavy-traffic regime.",

abstract = "In this paper we derive a technique for obtaining limit theorems for suprema of L{\'e}vy processes from their random walk counterparts. For each a>0, let {Y",

author = "O. Boxma and K. Kosinski and A.P. Zwart",

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AU - Boxma, O.

AU - Kosinski, K.

AU - Zwart, A.P.

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N2 - In this paper we derive a technique for obtaining limit theorems for suprema of Lévy processes from their random walk counterparts. For each a>0, let {Y

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M3 - Article

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SP - 295

EP - 304

JO - Queueing Systems

JF - Queueing Systems

ER -

Convergence of the all-time supremum of a Levy process in the heavy-traffic regime.

Abstract

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