TY  - BOOK
AU  - Debicki,Krzysztof
AU  - Mandjes,Michel
TI  - Queues and Levy fluctuation theory
T2  - Universitext 
SN  - 9783319206929 (alk. paper)
U1  - 519.82 23
PY  - 2015///
CY  - Switzerland
PB  - Springer
KW  - Queuing theory.
KW  - Levy processes
N1  - 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
N2  - 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.
ER  -