Extreme values of birth and death processes and queues

Richard F. Serfozo

Stochastic Processes and their Applications, 1987, vol. 27, 291-306

Abstract: We study the asymptotic behavior of maximum values of birth and death processes over large time intervals. In most cases, the distributions of these maxima, under standard linear normalizations, either do not converge or they converge to a degenerate distribution. However, by allowing the birth and death rates to vary in a certain manner as the time interval increases, we show that the maxima do indeed have three possible limit distributions. Two of these are classical extreme value distributions and the third one is a new distribution. This third distribution is the best one for practical applications. Our results are for transient as well as recurrent birth and death processes and related queues. For transient processes, the focus is on the maxima conditioned that they are finite.

Keywords: extreme; values; birth; and; death; processes; M/M/s; queues; limit; theorems (search for similar items in EconPapers)
Date: 1987
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