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Queues and Lévy Fluctuation Theory

Queues and Lévy Fluctuation Theory

Paperback

Series: Universitext

General MathematicsProbability & Statistics

ISBN10: 3319206923
ISBN13: 9783319206929
Publisher: Springer Nature
Published: Aug 14 2015
Pages: 255
Weight: 0.84
Height: 0.56 Width: 6.14 Depth: 9.21
Language: English

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.

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Probability & Statistics