Transient analysis of a stationary Lévy-driven queue

Jevgenijs Ivanovs and Michel Mandjes

Statistics & Probability Letters, 2015, vol. 107, issue C, 341-347

Abstract: In this paper we study a queue with Lévyinput, without imposing any a priori assumption on the jumps being one-sided. The focus is on computing the transforms of all sorts of quantities related to the transient workload, assuming the workload is in stationarity at time 0. The results are simple expressions that are in terms of the bivariate Laplace exponents of ladder processes. In particular, we derive the transform of the minimum workload attained over an exponentially distributed interval.

Keywords: Queues; Lévyprocesses; Conditioned to stay positive; Splitting (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2015.09.010

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