IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v121y2011i7p1546-1564.html
   My bibliography  Save this article

A Lévy input model with additional state-dependent services

Author

Listed:
  • Palmowski, Zbigniew
  • Vlasiou, Maria

Abstract

We consider a queuing model with the workload evolving between consecutive i.i.d. exponential timers according to a spectrally positive Lévy process Y(t) which is reflected at 0. When the exponential clock ends, the additional state-dependent service requirement modifies the workload so that the latter is equal to at epoch for some random nonnegative i.i.d. functionals Fi. In particular, we focus on the case when Fi(y)=(Bi-y)+, where {Bi}i=1,2,... are i.i.d. nonnegative random variables. We analyse the steady-state workload distribution for this model.

Suggested Citation

  • Palmowski, Zbigniew & Vlasiou, Maria, 2011. "A Lévy input model with additional state-dependent services," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1546-1564, July.
  • Handle: RePEc:eee:spapps:v:121:y:2011:i:7:p:1546-1564
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S030441491100069X
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Maulik, Krishanu & Zwart, Bert, 2006. "Tail asymptotics for exponential functionals of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 156-177, February.
    2. Embrechts, Paul & Goldie, Charles M., 1982. "On convolution tails," Stochastic Processes and their Applications, Elsevier, vol. 13(3), pages 263-278, September.
    3. Krishanu Maulik & Bert Zwart, 2009. "An extension of the square root law of TCP," Annals of Operations Research, Springer, vol. 170(1), pages 217-232, September.
    4. Bertoin, J. & Doney, R. A., 1994. "Cramer's estimate for Lévy processes," Statistics & Probability Letters, Elsevier, vol. 21(5), pages 363-365, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Baurdoux, Erik J. & Palmowski, Z & Pistorius, Martijn R, 2017. "On future drawdowns of Lévy processes," LSE Research Online Documents on Economics 84342, London School of Economics and Political Science, LSE Library.
    2. D’Auria, Bernardo & Adan, Ivo J.B.F. & Bekker, René & Kulkarni, Vidyadhar, 2022. "An M/M/c queue with queueing-time dependent service rates," European Journal of Operational Research, Elsevier, vol. 299(2), pages 566-579.
    3. Baurdoux, E.J. & Palmowski, Z. & Pistorius, M.R., 2017. "On future drawdowns of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2679-2698.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Arista, Jonas & Rivero, Víctor, 2023. "Implicit renewal theory for exponential functionals of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 262-287.
    2. Griffin, Philip S., 2022. "Path decomposition of a reflected Lévy process on first passage over high levels," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 29-47.
    3. Griffin, Philip S. & Maller, Ross A. & Schaik, Kees van, 2012. "Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 382-392.
    4. Chafaï, Djalil & Malrieu, Florent & Paroux, Katy, 2010. "On the long time behavior of the TCP window size process," Stochastic Processes and their Applications, Elsevier, vol. 120(8), pages 1518-1534, August.
    5. Kuznetsov, A., 2012. "On the distribution of exponential functionals for Lévy processes with jumps of rational transform," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 654-663.
    6. Geluk, J.L. & De Vries, C.G., 2006. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 39-56, February.
    7. Zhaolei Cui & Yuebao Wang & Hui Xu, 2022. "Local Closure under Infinitely Divisible Distribution Roots and Esscher Transform," Mathematics, MDPI, vol. 10(21), pages 1-24, November.
    8. Griffin, Philip S., 2020. "General tax structures for a Lévy insurance risk process under the Cramér condition," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1368-1387.
    9. Wang, Yuebao & Yang, Yang & Wang, Kaiyong & Cheng, Dongya, 2007. "Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 256-266, March.
    10. Sgibnev, M. S., 2001. "Exact asymptotic behaviour of the distribution of the supremum," Statistics & Probability Letters, Elsevier, vol. 52(3), pages 301-311, April.
    11. Braverman, Michael & Samorodnitsky, Gennady, 1995. "Functionals of infinitely divisible stochastic processes with exponential tails," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 207-231, April.
    12. Toshiro Watanabe & Kouji Yamamuro, 2010. "Local Subexponentiality and Self-decomposability," Journal of Theoretical Probability, Springer, vol. 23(4), pages 1039-1067, December.
    13. Danilenko, Svetlana & Šiaulys, Jonas, 2016. "Randomly stopped sums of not identically distributed heavy tailed random variables," Statistics & Probability Letters, Elsevier, vol. 113(C), pages 84-93.
    14. Søren Asmussen & Serguei Foss & Dmitry Korshunov, 2003. "Asymptotics for Sums of Random Variables with Local Subexponential Behaviour," Journal of Theoretical Probability, Springer, vol. 16(2), pages 489-518, April.
    15. Li, Jinzhu, 2016. "Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 195-204.
    16. Anita Behme & Alexander Lindner, 2015. "On Exponential Functionals of Lévy Processes," Journal of Theoretical Probability, Springer, vol. 28(2), pages 681-720, June.
    17. Toshiro Watanabe, 2021. "Two Hypotheses on the Exponential Class in the Class Of O-subexponential Infinitely Divisible Distributions," Journal of Theoretical Probability, Springer, vol. 34(2), pages 852-873, June.
    18. Horst, Ulrich, 2007. "Stochastic cascades, credit contagion, and large portfolio losses," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 25-54, May.
    19. Asghari, N.M. & Dȩbicki, K. & Mandjes, M., 2015. "Exact tail asymptotics of the supremum attained by a Lévy process," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 180-184.
    20. Toshiro Watanabe & Kouji Yamamuro, 2017. "Two Non-closure Properties on the Class of Subexponential Densities," Journal of Theoretical Probability, Springer, vol. 30(3), pages 1059-1075, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:121:y:2011:i:7:p:1546-1564. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.