TY  - BOOK
AU  - Dębicki,Krzysztof
AU  - Mandjes,Michel
ED  - SpringerLink (Online service)
TI  - Queues and Lévy Fluctuation Theory
T2  - Universitext,
SN  - 9783319206936
AV  - QA273.A1-274.9 
U1  - 519.2 23
PY  - 2015///
CY  - Cham
PB  - Springer International Publishing, Imprint: Springer
KW  - mathematics
KW  - Applied mathematics
KW  - Engineering mathematics
KW  - Probabilities
KW  - Mathematics
KW  - Probability Theory and Stochastic Processes
KW  - Applications of Mathematics
N1  - Introduction -- Lévy processes and Lévy-driven queues -- Steady-state workload -- Transient workload -- Heavy traffic -- Busy period -- Workload correlation function -- Stationary workload asymptotics -- Transient asymptotics -- Simulation of Lévy-driven queues -- Variants of the standard queue -- Lévy-driven tandem queues -- Lévy-driven queueing networks -- Applications in communication networks -- Applications in mathematical finance -- Computational aspects: inversion techniques -- Concluding remarks -- Bibliography
N2  - 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 graduate/postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes
UR  - http://dx.doi.org/10.1007/978-3-319-20693-6
ER  -