Queues and Lévy Fluctuation Theory

Download or read book Queues and Lévy Fluctuation Theory written by Krzysztof Dębicki and published by Springer. This book was released on 2015-08-06 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.