Tail asymptotics for a random sign Lindley recursion

Maria Vlasiou, Zbigniew Palmowski

Research output: Contribution to journalArticleAcademicpeer-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 languageEnglish
Pages (from-to)72-83
Number of pages12
JournalJournal of Applied Probability
Volume47
Issue number1
DOIs
Publication statusPublished - 1 Jan 2010

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Tail Asymptotics
Recursion
Precise Asymptotics
Tail Behavior
Steady-state Distribution
Storage System
Queueing System
Generalise
Dependent
Service system

Keywords

  • Cramer conditions
  • Intermediate tail
  • Sharp asymptotics
  • Stochastic recursion
  • Subexponential distribution

Cite this

Vlasiou, Maria ; Palmowski, Zbigniew. / Tail asymptotics for a random sign Lindley recursion. In: Journal of Applied Probability. 2010 ; Vol. 47, No. 1. pp. 72-83.
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Tail asymptotics for a random sign Lindley recursion. / Vlasiou, Maria; Palmowski, Zbigniew.

In: Journal of Applied Probability, Vol. 47, No. 1, 01.01.2010, p. 72-83.

Research output: Contribution to journalArticleAcademicpeer-review

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