Queues and Lévy Fluctuation Theory
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Beschreibung
The book provides an extensive introduction to queueing models driven by Lévy-processes as well as a systematic account of the literature on Lévy-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 Lévy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance.
Queues and Lévy Fluctuation Theory will appeal to graduate/postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.
The book provides an extensive introduction to queueing models driven by Lévy-processes as well as a systematic account of the literature on Lévy-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 Lévy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance.
Queues and Lévy Fluctuation Theory will appeal to postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.
Combines Lévy-based fluctuation theory and queueing theory Studies the possibilities of fluctuation-theoretic elements and the connection to queues Applicable for both an applied- and a theory-oriented audience Includes supplementary material: sn.pub/extras
Autor*in
Krzysztof Dębicki
Themen in »Queues and Lévy Fluctuation Theory«
Lévy Processes Networks Queues Tail Asymptotics Workload Process
Stimmen zu »Queues and Lévy Fluctuation Theory«
“The book presents, often in summary fashion, virtually all of the known results on Lévy-driven queues, quite a few of them obtained by the authors of this book, and thus it is ideal for a researcher who would like to enter this area. … I found the sketchy treatment of many results extremely useful and motivating. The list of references is complete, and a small number of useful exercises are included at the end of each chapter.” (Michael A. Zazanis, Mathematical Reviews, May, 2017)
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