TY - BOOK

T1 - Asymptotic analysis of Lévy-driven tandem queues

AU - Lieshout, P.M.D.

AU - Mandjes, M.R.H.

PY - 2008

Y1 - 2008

N2 - We analyze tail asymptotics of a two-node tandem queue with spectrally-positive Lévy input. A first focus lies in the tail probabilities of the type P(Q 1>a x,Q 2>(1-a)x), for a¿(0,1) and x large, and Q i denoting the steady-state workload in the ith queue. In case of light-tailed input, our analysis heavily uses the joint Laplace transform of the stationary buffer contents of the first and second queue; the logarithmic asymptotics can be expressed as the solution to a convex programming problem. In case of heavy-tailed input we rely on sample-path methods to derive the exact asymptotics. Then we specialize in the tail asymptotics of the downstream queue, again in case of both light-tailed and heavy-tailed Lévy inputs. It is also indicated how the results can be extended to tandem queues with more than two nodes.

AB - We analyze tail asymptotics of a two-node tandem queue with spectrally-positive Lévy input. A first focus lies in the tail probabilities of the type P(Q 1>a x,Q 2>(1-a)x), for a¿(0,1) and x large, and Q i denoting the steady-state workload in the ith queue. In case of light-tailed input, our analysis heavily uses the joint Laplace transform of the stationary buffer contents of the first and second queue; the logarithmic asymptotics can be expressed as the solution to a convex programming problem. In case of heavy-tailed input we rely on sample-path methods to derive the exact asymptotics. Then we specialize in the tail asymptotics of the downstream queue, again in case of both light-tailed and heavy-tailed Lévy inputs. It is also indicated how the results can be extended to tandem queues with more than two nodes.

M3 - Report

T3 - CWI Report

BT - Asymptotic analysis of Lévy-driven tandem queues

PB - Centrum voor Wiskunde en Informatica

CY - Amsterdam

ER -