2,243 research outputs found
Continuity theorems for the queueing system
In this paper continuity theorems are established for the number of losses
during a busy period of the queue. We consider an queueing
system where the service time probability distribution, slightly different in a
certain sense from the exponential distribution, is approximated by that
exponential distribution. Continuity theorems are obtained in the form of one
or two-sided stochastic inequalities. The paper shows how the bounds of these
inequalities are changed if further assumptions, associated with specific
properties of the service time distribution (precisely described in the paper),
are made. Specifically, some parametric families of service time distributions
are discussed, and the paper establishes uniform estimates (given for all
possible values of the parameter) and local estimates (where the parameter is
fixed and takes only the given value). The analysis of the paper is based on
the level crossing approach and some characterization properties of the
exponential distribution.Comment: Final revision; will be published as i
The effective bandwidth problem revisited
The paper studies a single-server queueing system with autonomous service and
priority classes. Arrival and departure processes are governed by marked
point processes. There are buffers corresponding to priority classes,
and upon arrival a unit of the th priority class occupies a place in the
th buffer. Let , denote the quota for the total
th buffer content. The values are assumed to be large, and
queueing systems both with finite and infinite buffers are studied. In the case
of a system with finite buffers, the values characterize buffer
capacities.
The paper discusses a circle of problems related to optimization of
performance measures associated with overflowing the quota of buffer contents
in particular buffers models. Our approach to this problem is new, and the
presentation of our results is simple and clear for real applications.Comment: 29 pages, 11pt, Final version, that will be published as is in
Stochastic Model
Poisson-type deviation inequalities for curved continuous-time Markov chains
In this paper, we present new Poisson-type deviation inequalities for
continuous-time Markov chains whose Wasserstein curvature or -curvature
is bounded below. Although these two curvatures are equivalent for Brownian
motion on Riemannian manifolds, they are not comparable in discrete settings
and yield different deviation bounds. In the case of birth--death processes, we
provide some conditions on the transition rates of the associated generator for
such curvatures to be bounded below and we extend the deviation inequalities
established [An\'{e}, C. and Ledoux, M. On logarithmic Sobolev inequalities for
continuous time random walks on graphs. Probab. Theory Related Fields 116
(2000) 573--602] for continuous-time random walks, seen as models in null
curvature. Some applications of these tail estimates are given for
Brownian-driven Ornstein--Uhlenbeck processes and queues.Comment: Published at http://dx.doi.org/10.3150/07-BEJ6039 in the Bernoulli
(http://isi.cbs.nl/bernoulli/) by the International Statistical
Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm
Markov-modulated Brownian motion with two reflecting barriers
We consider a Markov-modulated Brownian motion reflected to stay in a strip
[0,B]. The stationary distribution of this process is known to have a simple
form under some assumptions. We provide a short probabilistic argument leading
to this result and explaining its simplicity. Moreover, this argument allows
for generalizations including the distribution of the reflected process at an
independent exponentially distributed epoch. Our second contribution concerns
transient behavior of the reflected system. We identify the joint law of the
processes t,X(t),J(t) at inverse local times.Comment: 13 pages, 1 figur
Competing particle systems evolving by interacting L\'{e}vy processes
We consider finite and infinite systems of particles on the real line and
half-line evolving in continuous time. Hereby, the particles are driven by
i.i.d. L\'{e}vy processes endowed with rank-dependent drift and diffusion
coefficients. In the finite systems we show that the processes of gaps in the
respective particle configurations possess unique invariant distributions and
prove the convergence of the gap processes to the latter in the total variation
distance, assuming a bound on the jumps of the L\'{e}vy processes. In the
infinite case we show that the gap process of the particle system on the
half-line is tight for appropriate initial conditions and same drift and
diffusion coefficients for all particles. Applications of such processes
include the modeling of capital distributions among the ranked participants in
a financial market, the stability of certain stochastic queueing and storage
networks and the study of the Sherrington--Kirkpatrick model of spin glasses.Comment: Published in at http://dx.doi.org/10.1214/10-AAP743 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Instability in Stochastic and Fluid Queueing Networks
The fluid model has proven to be one of the most effective tools for the
analysis of stochastic queueing networks, specifically for the analysis of
stability. It is known that stability of a fluid model implies positive
(Harris) recurrence (stability) of a corresponding stochastic queueing network,
and weak stability implies rate stability of a corresponding stochastic
network. These results have been established both for cases of specific
scheduling policies and for the class of all work conserving policies.
However, only partial converse results have been established and in certain
cases converse statements do not hold. In this paper we close one of the
existing gaps. For the case of networks with two stations we prove that if the
fluid model is not weakly stable under the class of all work conserving
policies, then a corresponding queueing network is not rate stable under the
class of all work conserving policies. We establish the result by building a
particular work conserving scheduling policy which makes the associated
stochastic process transient. An important corollary of our result is that the
condition , which was proven in \cite{daivan97} to be the exact
condition for global weak stability of the fluid model, is also the exact
global rate stability condition for an associated queueing network. Here
is a certain computable parameter of the network involving virtual
station and push start conditions.Comment: 30 pages, To appear in Annals of Applied Probabilit
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