Tail asymptotics for a random sign Lindley recursion

Maria Vlasiou; Zbigniew Palmowski

doi:10.1239/jap/1269610817

Tail asymptotics for a random sign Lindley recursion

Maria Vlasiou, Zbigniew Palmowski

Stochastic Operations Research

Research output: Contribution to journal › Article › Academic › peer-review

1 Citation (Scopus)

Abstract

We investigate the tail behaviour of the steady-state distribution of a stochastic recursion that generalises Lindley's recursion. This recursion arises in queueing 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
Pages (from-to)	72-83
Number of pages	12
Journal	Journal of Applied Probability
Volume	47
Issue number	1
DOIs	https://doi.org/10.1239/jap/1269610817
Publication status	Published - 1 Jan 2010

Keywords

Cramer conditions
Intermediate tail
Sharp asymptotics
Stochastic recursion
Subexponential distribution

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10.1239/jap/1269610817

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KW - Stochastic recursion

KW - Subexponential distribution

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Tail asymptotics for a random sign Lindley recursion

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Keywords

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