Queues and Lévy fluctuation theory
著者
書誌事項
Queues and Lévy fluctuation theory
（Universitext）
Springer, c2015
- : [pbk.]
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注記
Includes bibliographical references (p. 247-255)
内容説明・目次
内容説明
The book provides an extensive introduction to queueing models driven by Levy-processes as well as a systematic account of the literature on Levy-driven queues. The objective is to make the reader familiar with the wide set of probabilistic techniques that have been developed over the past decades, including transform-based techniques, martingales, rate-conservation arguments, change-of-measure, importance sampling, and large deviations. On the application side, it demonstrates how Levy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance.
Queues and Levy Fluctuation Theory will appeal to postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.
目次
Introduction.- Levy processes and Levy-driven queues.- Steady-state workload.- Transient workload.- Heavy traffic.- Busy period.- Workload correlation function.- Stationary workload asymptotics.- Transient asymptotics.- Simulation of Levy-driven queues.- Variants of the standard queue.- Levy-driven tandem queues.- Levy-driven queueing networks.- Applications in communication networks.- Applications in mathematical finance.- Computational aspects: inversion techniques.- Concluding remarks.- Bibliography.
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