Large deviations for a random sign Lindley recursion

M. Vlasiou; Z.B. Palmowski

Large deviations for a random sign Lindley recursion

M. Vlasiou, Z.B. Palmowski

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Abstract

We investigate the tail behaviour of the steady state distribution of a stochastic recursion that generalises Lindley's recursion. This recursion arises in queuing systems with dependent interarrival and service times, and includes alternating service systems and carousel storage systems as special cases. We obtain precise tail asymptotics in three qualitatively different cases, and compare these with existing results for Lindley's recursion and for alternating service systems.

Original language	English
Place of Publication	Eindhoven
Publisher	Eurandom
Number of pages	13
Publication status	Published - 2009

Publication series

Name	Report Eurandom
Volume	2009003
ISSN (Print)	1389-2355

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Large deviations for a random sign Lindley recursion

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