Transient analysis of one-sided Lévy-driven queues

N.J. Starreveld; R. Bekker; M.R.H. Mandjes

doi:10.1080/15326349.2016.1170615

Transient analysis of one-sided Lévy-driven queues

N.J. Starreveld
, R. Bekker
, M.R.H. Mandjes

Mathematics

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

Abstract

In this article, we analyze the transient behavior of the workload process in a Lévy-driven queue. We are interested in the value of the workload process at a random epoch; this epoch is distributed as the sum of independent exponential random variables. We consider both cases of spectrally one-sided Lévy input processes, for which we succeed in deriving explicit results. As an application, we approximate the mean and the Laplace transform of the workload process after a deterministic time.

Original language	English
Pages (from-to)	481-512
Journal	Stochastic Models
Volume	32
Issue number	3
DOIs	https://doi.org/10.1080/15326349.2016.1170615
Publication status	Published - 2016

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10.1080/15326349.2016.1170615

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title = "Transient analysis of one-sided L{\'e}vy-driven queues",

abstract = "In this article, we analyze the transient behavior of the workload process in a L{\'e}vy-driven queue. We are interested in the value of the workload process at a random epoch; this epoch is distributed as the sum of independent exponential random variables. We consider both cases of spectrally one-sided L{\'e}vy input processes, for which we succeed in deriving explicit results. As an application, we approximate the mean and the Laplace transform of the workload process after a deterministic time.",

author = "N.J. Starreveld and R. Bekker and M.R.H. Mandjes",

year = "2016",

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AU - Starreveld, N.J.

AU - Bekker, R.

AU - Mandjes, M.R.H.

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AB - In this article, we analyze the transient behavior of the workload process in a Lévy-driven queue. We are interested in the value of the workload process at a random epoch; this epoch is distributed as the sum of independent exponential random variables. We consider both cases of spectrally one-sided Lévy input processes, for which we succeed in deriving explicit results. As an application, we approximate the mean and the Laplace transform of the workload process after a deterministic time.

U2 - 10.1080/15326349.2016.1170615

DO - 10.1080/15326349.2016.1170615

M3 - Article

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VL - 32

SP - 481

EP - 512

JO - Stochastic Models

JF - Stochastic Models

IS - 3

ER -

Transient analysis of one-sided Lévy-driven queues

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