Perturbation Theory for the Asymptotic Decay Rates in the Queues with Markovian Arrival Process and/or Markovian Service Process

Three kinds of queues with Markovian arrival process and/or Markovian service process, are considered in this paper. In great generality, their basic steady-state distributions have asymptotically exponential tails. We investigate the sensitivity of these asymptotic decay rates to the small entrywise perturbations in the parameter matrices of the Markovian arrival process.     

Ruin probability in the dual risk model with two revenue streams

The dual risk model describes the surplus of a company with fixed expense rate and occasional random income inflows, called gains. Consider the dual risk model with two streams of gains. Type I gains arrive according to a Poisson process, and type II gains arrive according to a general renewal process. We show that the survival probability of the company can be expressed in terms of the survival probability in a dual risk process with renewal arrivals with initial reserve 0, and the survival probability in the dual risk process with Poisson arrivals in finite time.     

Metrics on the set of semimartingale filtrations

Let X be a stochastic process with cadlag paths. We consider the set of all filtrations under which X is a semimartingale, and we define a distance between such filtrations with the help of the bounded variation parts in the corresponding decompositions of X. We show that this distance is a complete metric on the set of semimartingale filtrations if the given process X is continuous.     

M/MGk,B/1算子的预解集

本文证明了M/Gk,B/1算子的预解集含于除原点外的虚轴.     

偏微分方程形式的M/M/1排队模型的主算子的谱

研究偏微分方程形式的M/M/1排队模型的主算子在左半复平面中的谱,证明当顾客的到达率λ和服务员的服务率μ满足λ<μ,λ~2+μ~2≠3λμ时,μ不是A+U+E的特征值.     

Asymptotic behavior of the loss probability for an M/G/1/N queue with vacations

In this paper, asymptotic properties of the loss probability are considered for an M/G/1/N queue with server vacations and exhaustive service discipline, denoted by an M/G/1/N-(V, E)-queue. Exact asymptotic rates of the loss probability are obtained for the cases in which the traffic intensity is smaller than, equal to and greater than one, respectively. When the vacation time is zero, the model considered degenerates to the standard M/G/1/N queue. For this standard queueing model, our analysis provides new or extended asymptotic results for the loss probability. In terms of the duality relationship between the M/G/1/N and GI/M/1/N queues, we also provide asymptotic properties for the standard GI/M/1/N model.     

The distribution of the number of arrivals in a subinterval of a busy period of a single server queue

In the course of attempting to estimate the arrival rate of a single server queue using an active probing experiment, the authors found it necessary to derive the distribution of the number of arrivals between two probes under the conditions that the busy period of the queue lasts this long. In this paper we derive this distribution. The key building blocks in the derivation of the distribution are the classical ballot theorem and its generalized forms.     

Analytical Distribution of Waiting Time in the M/{iD}/1 Queue

We give an analytical formula for the steady-state distribution of queue-wait in the M/G/1 queue, where the service time for each customer is a positive integer multiple of a constant D > 0. We call this an M/{iD}/1 queue. We give numerical algorithms to calculate the distribution. In addition, in the case that the service distribution is sparse, we give revised algorithms that can compute the distribution more quickly.AMS subject classification: 60K25, 90B22