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.
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.
Lévy processes, that is, processes in continuous time with stationary and independent increments, form a flexible class of models, which have been applied to the study of storage processes, insurance...
This thesis discusses Lévy processes and Lévy copulas. In connection with Lévy processes we treat some of the theory behind infinitely divisible distributions, acknowledging that the two classes are...
Queueing Theory deals with systems where there is contention for resources, but the demands are only known probabilistically. This book can be considered to be a monograph or a textbook, ...
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