Queues and Levy fluctuation theory / Krzysztof Debicki and Michel Mandjes.
Material type:
TextSeries: UniversitextPublication details: Switzerland : Springer, 2015.Description: xi, 255 p. : illustrations ; 24 cmISBN: - 9783319206929 (alk. paper)
- 519.82 23 D286
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 519.82 D286 (Browse shelf(Opens below)) | Available | 136743 |
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| 519.82 B736 Financial and actuarial statistics : | 519.82 B931 Mathematical methods in risk theory | 519.82 C889 Collective risk theory | 519.82 D286 Queues and Levy fluctuation theory / | 519.82 D675 Compound interest and annuities certain | 519.82 D675 Compound interest and annuities certain | 519.82 D675 Compound interest and annuities certain |
Includes bibliographical references.
1. Introduction --
2. Levy processes and Lévy-driven queues --
3. Steady-state workload --
4. Transient workload --
5. Heavy traffic --
6. Busy period --
7. Workload correlation function --
8. Stationary workload asymptotics --
9. Transient asymptotics --
10. Simulation of Lévy-driven queues --
11. Variants of the standard queue --
12. Levy-driven tandem queues --
13. Levy-driven queueing networks --
14. Applications in communication networks --
15. Applications in mathematical finance --
16. Computational aspects: inversion techniques --
17. Concluding remarks --
References.
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 Lévy 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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