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Queues and Levy fluctuation theory

Debicki, Krzysztof.

Queues and Levy fluctuation theory

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Queues and Levy fluctuation theoryby Krzysztof Debicki, Michel Mandjes.
作者:	Debicki, Krzysztof.
其他作者:	Mandjes, Michel.
出版者:	Cham :Springer International Publishing :2015.
面頁冊數:	xi, 255 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Queuing theory.
電子資源:	http://dx.doi.org/10.1007/978-3-319-20693-6
ISBN:	9783319206936$q(electronic bk.)

Queues and Levy fluctuation theory
Debicki, Krzysztof.

Queues and Levy fluctuation theory[electronic resource] /by Krzysztof Debicki, Michel Mandjes. - Cham :Springer International Publishing :2015. - xi, 255 p. :ill., digital ;24 cm. - Universitext,0172-5939. - Universitext..

Introduction -- Levy processes and Levy-driven queues -- Steady-state workload -- Transient workload -- Heavy traffic -- Busy period -- Workload correlation function -- Stationary workload asymptotics -- Transient asymptotics -- Simulation of Levy-driven queues -- Variants of the standard queue -- Levy-driven tandem queues -- Levy-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 Levy-processes as well as a systematic account of the literature on Levy-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 Levy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance. Queues and Levy 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$q(electronic bk.)

Standard No.: 10.1007/978-3-319-20693-6doiSubjects--Topical Terms:

182581
Queuing theory.

LC Class. No.: QA274.8

Dewey Class. No.: 519.82

Queues and Levy fluctuation theory
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245 1 0 $a Queues and Levy fluctuation theory $h [electronic resource] / $c by Krzysztof Debicki, Michel Mandjes.
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300 $a xi, 255 p. : $b ill., digital ; $c 24 cm.
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505 0 $a Introduction -- Levy processes and Levy-driven queues -- Steady-state workload -- Transient workload -- Heavy traffic -- Busy period -- Workload correlation function -- Stationary workload asymptotics -- Transient asymptotics -- Simulation of Levy-driven queues -- Variants of the standard queue -- Levy-driven tandem queues -- Levy-driven queueing networks -- Applications in communication networks -- Applications in mathematical finance -- Computational aspects: inversion techniques -- Concluding remarks -- Bibliography.
520 $a The book provides an extensive introduction to queueing models driven by Levy-processes as well as a systematic account of the literature on Levy-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 Levy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance. Queues and Levy 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.
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