Factorization identities for reflected processes, with applications

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Samenvatting

We derive factorization identities for a class of preemptive-resume queueing systems, with batch arrivals and catastrophes that, whenever they occur, eliminate multiple customers present in the system. These processes are quite general, as they can be used to approximate Levy processes, diffusion processes, and certain types of growth-collapse processes; thus, all of the processes mentioned above also satisfy similar factorization identities. In the Levy case, our identities simplify to both the well-known Wiener-Hopf factorization, and another interesting factorization of reflected Levy processes starting at an arbitrary initial state. We also show how the ideas can be used to derive transforms for some well-known state-dependent/inhomogeneous birth-death processes and diffusion processes.
Originele taal-2Engels
Uitgeverijs.n.
StatusGepubliceerd - 2013

Publicatie series

NaamarXiv.org
Volume1302.2508 [math.PR]

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