The correlation function of a queue with Lévy and Markov additive input

Wouter Berkelmans, Agata Cichocka, Michel Mandjes*

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

Let (Qt)t∈R be a stationary workload process, and r(t) the correlation coefficient of Q0 and Qt. In a series of previous papers (i) the transform of r(⋅) has been derived for the case that the driving process is spectrally-positive (SP) or spectrally-negative (SN) Lévy, (ii) it has been shown that for SP-Lévy and SN-Lévy input r(⋅) is positive, decreasing, and convex, (iii) in case the driving Lévy process is light-tailed (a condition that is automatically fulfilled in the SN case), the decay of the decay rate agrees with that of the tail of the busy period distribution. In the present paper we first prove the conjecture that property (ii) carries over to spectrally two-sided Lévy processes; we do so for the case the Lévy process is reflected at 0, and the case it is reflected at 0, and K>0. Then we focus on queues fed by Markov additive processes (MAPs). We start by the establishing the counterpart of (i) for SP- and SN-MAPs. Then we refute property (ii) for MAPs: we construct examples in which the correlation coefficient can be (locally) negative, decreasing, and concave. Finally, in relation to (iii), we point out how to identify the decay rate of r(⋅) in the light-tailed MAP case, thus showing that the tail behavior of r(⋅) does not necessarily match that of the busy-period tail; singularities related to the transition rate matrix of the background Markov chain turn out to play a crucial role here.

Original languageEnglish
Pages (from-to)1713-1734
Number of pages22
JournalStochastic Processes and Their Applications
Volume130
Issue number3
Early online date3 Jun 2019
DOIs
Publication statusPublished - 1 Mar 2020

Funding

His research is partly funded by NWO Gravitation project NETWORKS, grant number 024.002.003. The third author wishes to thank Lars Nørvang Andersen (Aarhus) and François Baccelli (Austin) for helpful interactions regarding the spectrally two-sided Lévy case, Jevgenijs Ivanovs (Aarhus) and Zbigniew Palmowski (Wrocław) for providing useful references, and Peter Glynn (Stanford) for discussions regarding the tail behavior examples in Section 6.

FundersFunder number
Nederlandse Organisatie voor Wetenschappelijk Onderzoek024.002.003

    Keywords

    • Lévy processes
    • Markov additive processes
    • Reflection
    • Workload

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