A Single Server Poisson Input Queue with a Second Optional Channel

Consider an M/G/1 queue such that over and above the first essential service having a general service time distribution, a unit may need a second optional service with another independent general service time. A unit may depart from the system either after the first essential service with probability (1–r) or at the end of the first service may immediately go for a second service with probability r (0r1). This is a generalization of a recent paper considered by Madan [5].     

Analyzing a Two-Stage Queueing System with Many Point Process Arrivals at Upstream Queue

We consider a two-stage queueing system where the first (upstream) queue serves many flows, of which a fixed set of flows arrive to the second (downstream) queue. We show that as the capacity and the number of flows aggregated at the upstream queue increases, the overflow probability at the downstream queue converges to that of a simplified single queue obtained by removing the upstream queue from the original two-stage queueing system. Earlier work shows such convergence for fluid traffic, by exploiting the large deviation result that the workload goes to zero almost surely, as the number of flows and capacity is scaled. However, the analysis is quite different and more difficult for the point process traffic considered in this paper. The reason is that for point process traffic the large deviation rate function need not be strictly positive (i.e., I(0)=0), hence the workload at the upstream queue may not go to zero even though the number of flows and capacity go to infinity. The results in this paper thus make it possible to decompose the original two-stage queueing system into a simple single-stage queueing system.     

A Queue with Semi-Markovian Batch Plus Poisson Arrivals with Application to the MPEG Frame Sequence

We consider a queueing system with a single server having a mixture of a semi-Markov process (SMP) and a Poisson process as the arrival process, where each SMP arrival contains a batch of customers. The service times are exponentially distributed. We derive the distributions of the queue length of both SMP and Poisson customers when the sojourn time distributions of the SMP have rational Laplace–Stieltjes transforms. We prove that the number of unknown constants contained in the generating function for the queue length distribution equals the number of zeros of the denominator of this generating function in the case where the sojourn times of the SMP follow exponential distributions. The linear independence of the equations generated by those zeros is discussed for the same case with additional assumption. The necessary and sufficient condition for the stability of the system is also analyzed. The distributions of the waiting times of both SMP and Poisson customers are derived. The results are applied to the case in which the SMP arrivals correspond to the exact sequence of Motion Picture Experts Group (MPEG) frames. Poisson arrivals are regarded as interfering traffic. In the numerical examples, the mean and variance of the waiting time of the ATM cells generated from the MPEG frames of real video data are evaluated.     

An Invariance in the Priority Queue with Generalized Server Vacations and Structured Batch Arrivals

Abstract

Shanthikumar (Shanthikumar, J.G. Level crossing analysis of priority queues and a conservation identity for vacation models. Nav. Res. Log. 1989, 36, 797–806) studied the priority M/G/1 queue with server vacations and found that the difference between the waiting time distribution under the non‐preemptive priority (NPP) and that under the preemptive‐resume priority (PRP) is independent of the vacation policy. We extend this interesting property: (i) to the generalized vacations which includes the two vacation policies considered by Shanthikumar; (ii) to the structured batch Poisson arrival process; and (iii) to the discrete‐time queues.     

Infinite Server Queues with Synchronized Departures Driven by a Single Point Process

We analyze an infinite-server queueing model with synchronized arrivals and departures driven by the point process {T _n } according to the following rules. At time T _n , a single customer (or a batch of size β _n ) arrives to the system. The service requirement of the ith customer in the nth batch is σ _i,n . All customers enter service immediately upon arrival but each customer leaves the system at the first epoch of the point process {T _n } which occurs after his service requirement has been satisfied. For this system the queue length process and the statistics of the departing batches of customers are investigated under various assumptions for the statistics of the point process {T _n }, the incoming batch sequence {β _n }, and the service sequence {σ _i,n }. Results for the asymptotic distribution of the departing batches when the service times are long compared to the interarrival times are also derived.     

A Numerical Method for Evaluating Delay to a Customer in a Time-Inhomogeneous,Single Server Queue with Batch Arrivals

Using the method of discrete time analysis, a numerical method is developed for evaluating the distribution of the delay encountered by a customer in a time-inhomogeneous, single server queue with batch arrivals.     

Conditional,Non-Homogeneous and Doubly Stochastic Compound Poisson Processes with Stochastic Discounted Claims

In this paper, we study the conditional, non-homogeneous and doubly stochastic compound Poisson process with stochastic discounted claims. We derive the moment generating functions of these risk processes and find their inverses, numerically or analytically, by using their corresponding characteristic functions. We then compare their distributions and some risk measures as the VaR and TVaR, and we examine the case where there is a possible dependence between the occurrence time and the severity of the claim.     

The Single Server Queue with Mixing Dependencies

Methodology and Computing in Applied Probability - We study a single server queue, where a certain type of dependence is introduced between the service times, or between the inter-arrival times, or...     

The Perturbed Compound Poisson Risk Process with Investment and Debit Interest

In this paper, we study absolute ruin questions for the perturbed compound Poisson risk process with investment and debit interests by the expected discounted penalty function at absolute ruin, which provides a unified means of studying the joint distribution of the absolute ruin time, the surplus immediately prior to absolute ruin time and the deficit at absolute ruin time. We first consider the stochastic Dirichlet problem and from which we derive a system of integro-differential equations and the boundary conditions satisfied by the function. Second, we derive the integral equations and a defective renewal equation under some special cases, then based on the defective renewal equation we give two asymptotic results for the expected discounted penalty function when the initial surplus tends to infinity for the light-tailed claims and heavy-tailed claims, respectively. Finally, we investigate some explicit solutions and numerical results when claim sizes are exponentially distributed.     

复合泊松过程的可加性

对复合泊松分布可加性的研究在许多的文献中都可以看到,本文首先应用特征函数的方法证明了复合泊松分布的可加性.以此为基础,结合对随机过程相关性质的讨论,证明了复合泊松过程也具有与复合泊松分布可加性相似的,某种意义上的可加性性质.     

具有延误休假时间的排队系统队长分布

考虑具延误休假时间的N-策略M／G／1／∞排队系统,研究队长的瞬态和稳态性质．通过引进“服务员忙期”和使用全概率分解技术,导出在任意时刻t瞬态队长分布的L变换的递推表达式和稳态队长分布的递推表达式,以及平稳队长的随机分解．     

复合泊松过程和Meixner过程驱动下的期权定价

本文讨论了股票价格对数过程由复合泊松过程、Meixner过程驱动下的欧式看涨期权的定价问题.利用Esscher变换和风险中性Esscher测度得到了两类过程驱动下的期权定价公式,为实践者提供了理论上的参考价格.     

A Two-Sided First-Exit Problem for a Compound Poisson Process with a Random Upper Boundary

We consider the first-exit time of a compound Poisson process from a region that is bounded from below by an increasing straight line, while its upper boundary has positive jumps of i.i.d. sizes at Poisson times and increases linearly between jumps. An integral equation for the corresponding Laplace-Stieltjes transforms is derived and solved. The case of exponential jumps is treated separately. The problem has applications in queueing and risk theory.AMS 2000 Mathematics Subject Classification: Primary 60G40; Secondary 62K25, 6OJ75     

Analysis of a Discrete-Time Queueing System with a Single Server and Heterogeneous Markovian Arrivals

We consider a discrete-time queueing system with a single deterministic server, heterogeneous Markovian arrivals and finite capacity. Most existing techniques model the queueing system using a direct bivariate Markov chain which requires a state space that grows rapidly as the number of customer types increases. In this paper, we define renewal cycles in terms of the input process and model the system occupancy level on each renewal cycle using a one-dimensional Markov chain. We derive the exact joint steady-state probability distribution of both states of input and system occupancy with a considerably reduced state space, which leads to the efficient calculation of overall/individual performance measures such as loss probability and average delay.     

带干扰的复合广义齐次Poisson过程的多险种破产概率

将复合广义齐次poisson过程的多险种风险模型推广到带干扰的一种新模型,运用鞅方法破产概率满足的Lundberg不等式和一般公式.     

复合泊松过程及其在保险风险中的若干应用

本文利用齐次泊松过程的可加性,研究了复合泊松过程的可加性及其性质。作为应用,讨论了单个理赔额服从指数分布的复合泊松风险模型在第n次索赔时发生负盈余的概率。     

Tail Behaviour of the Area Under the Queue Length Process of the Single Server Queue with Regularly Varying Service Times

This paper considers a stable GI∨GI∨1 queue with a regularly varying service time distribution. We derive the tail behaviour of the integral of the queue length process Q(t) over one busy period. We show that the occurrence of a large integral is related to the occurrence of a large maximum of the queueing process over the busy period and we exploit asymptotic results for this variable. We also prove a central limit theorem for ∫₀^t Q(s) ds.AMS subject classification: 60K25, 90B22.