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Queues and Lévy Fluctuation Theory
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Queues and Lévy Fluctuation Theory
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
Queues and Lévy Fluctuation Theory/ by Krzysztof Dębicki, Michel Mandjes.
作者:
Dębicki, Krzysztof.
其他作者:
Mandjes, Michel.
面頁冊數:
XI, 255 p. 12 illus.online resource. :
Contained By:
Springer Nature eBook
標題:
Probabilities. -
電子資源:
https://doi.org/10.1007/978-3-319-20693-6
ISBN:
9783319206936
Queues and Lévy Fluctuation Theory
Dębicki, Krzysztof.
Queues and Lévy Fluctuation Theory
[electronic resource] /by Krzysztof Dębicki, Michel Mandjes. - 1st ed. 2015. - XI, 255 p. 12 illus.online resource. - Universitext,0172-5939. - Universitext,.
Introduction -- Lévy processes and Lévy-driven queues -- Steady-state workload -- Transient workload -- Heavy traffic -- Busy period -- Workload correlation function -- Stationary workload asymptotics -- Transient asymptotics -- Simulation of Lévy-driven queues -- Variants of the standard queue -- Lévy-driven tandem queues -- Lévy-driven queueing networks -- Applications in communication networks -- Applications in mathematical finance -- Computational aspects: inversion techniques -- Concluding remarks -- Bibliography.
The book provides an extensive introduction to queueing models driven by Lévy-processes as well as a systematic account of the literature on Lévy-driven queues. The objective is to make the reader familiar with the wide set of probabilistic techniques that have been developed over the past decades, including transform-based techniques, martingales, rate-conservation arguments, change-of-measure, importance sampling, and large deviations. On the application side, it demonstrates how Lévy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance. Queues and Lévy Fluctuation Theory will appeal to graduate/postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.
ISBN: 9783319206936
Standard No.: 10.1007/978-3-319-20693-6doiSubjects--Topical Terms:
527847
Probabilities.
LC Class. No.: QA273.A1-274.9
Dewey Class. No.: 519.2
Queues and Lévy Fluctuation Theory
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Introduction -- Lévy processes and Lévy-driven queues -- Steady-state workload -- Transient workload -- Heavy traffic -- Busy period -- Workload correlation function -- Stationary workload asymptotics -- Transient asymptotics -- Simulation of Lévy-driven queues -- Variants of the standard queue -- Lévy-driven tandem queues -- Lévy-driven queueing networks -- Applications in communication networks -- Applications in mathematical finance -- Computational aspects: inversion techniques -- Concluding remarks -- Bibliography.
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