Transient analysis of a stationary Lévy-driven queue

J. Ivanovs, M.R.H. Mandjes

Research output: Contribution to journalArticleAcademicpeer-review

2 Citations (Scopus)
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In this paper we study a queue with Lévy input, without imposing any a priori assumption on the jumps being one-sided. The focus is on computing the transforms of all sorts of quantities related to the transient workload, assuming the workload is in stationarity at time 0. The results are simple expressions that are in terms of the bivariate Laplace exponents of ladder processes. In particular, we derive the transform of the minimum workload attained over an exponentially distributed interval. Keywords: Queues; Lévy processes; Conditioned to stay positive; Splitting
Original languageEnglish
Pages (from-to)341-347
JournalStatistics and Probability Letters
Publication statusPublished - 2015


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