Heavy-traffic analysis for the GI/G/1 queue with heavy-tailed distributions

We consider a GI/G/1 queue in which the service time distribution and/or the interarrival time distribution has a heavy tail, i.e., a tail behaviour like t ^−ν with 1 < ν ⩽ 2 , so that the mean is finite but the variance is infinite. We prove a heavy-traffic limit theorem for the distribution of the stationary actual waiting time W. If the tail of the service time distribution is heavier than that of the interarrival time distribution, and the traffic load a → 1, then W, multiplied by an appropriate ‘coefficient of contraction’ that is a function of a, converges in distribution to the Kovalenko distribution. If the tail of the interarrival time distribution is heavier than that of the service time distribution, and the traffic load a → 1, then W, multiplied by another appropriate ‘coefficient of contraction’ that is a function of a, converges in distribution to the negative exponential distribution. This revised version was published online in June 2006 with corrections to the Cover Date.     

Stochastic integration for Lévy processes with values in Banach spaces

A stochastic integral of Banach space valued deterministic functions with respect to Banach space valued Lévy processes is defined. There are no conditions on the Banach spaces or on the Lévy processes. The integral is defined analogously to the Pettis integral. The integrability of a function is characterized by means of a radonifying property of an integral operator associated with the integrand. The integral is used to prove a Lévy–Itô decomposition for Banach space valued Lévy processes and to study existence and uniqueness of solutions of stochastic Cauchy problems driven by Lévy processes.     

The tax identity in risk theory — a simple proof and an extension

By linking queueing concepts with risk theory, we give a simple and insightful proof of the tax identity in the Cramér-Lundberg model that was recently derived in Albrecher & Hipp [Albrecher, H., Hipp, C., 2007. Lundberg’s risk process with tax. Blätter der DGVFM 28 (1), 13-28], and extend the identity to arbitrary surplus-dependent tax rates.     

Sojourn time asymptotics in the M/G/1 processor sharing queue

We show for the M/G/1 processor sharing queue that the service time distribution is regularly varying of index -ν, ν non-integer, iff the sojourn time distribution is regularly varying of index -ν. This result is derived from a new expression for the Laplace–Stieltjes transform of the sojourn time distribution. That expression also leads to other new properties for the sojourn time distribution. We show how the moments of the sojourn time can be calculated recursively and prove that the kth moment of the sojourn time is finite iff the kth moment of the service time is finite. In addition, we give a short proof of a heavy traffic theorem for the sojourn time distribution, prove a heavy traffic theorem for the moments of the sojourn time, and study the properties of the heavy traffic limiting sojourn time distribution when the service time distribution is regularly varying. Explicit formulas and multiterm expansions are provided for the case that the service time has a Pareto distribution. This revised version was published online in June 2006 with corrections to the Cover Date.     

Queues with Workload-Dependent Arrival and Service Rates

We consider two types of queues with workload-dependent arrival rate and service speed. Our study is motivated by queueing scenarios where the arrival rate and/or speed of the server depends on the amount of work present, like production systems and the Internet. First, in the M/G/1 case, we compare the steady-state distribution of the workload (both at arbitrary epochs and at arrival instants) in two models, in which the ratio of arrival rate and service speed is equal. Applying level crossing arguments, we show that the steady-state distributions are proportional. Second, we consider a G/G/1-type queue with workload-dependent interarrival times and service speed. Using a stochastic mean-value approach, several well-known relations for the workload at various epochs in the ordinary G/G/1 queue are generalized.     

Workloads and waiting times in single-server systems with multiple customer classes

One of the most fundamental properties that single-server multi-class service systems may possess is the property of work conservation. Under certain restrictions, the work conservation property gives rise to a conservation law for mean waiting times, i.e., a linear relation between the mean waiting times of the various classes of customers. This paper is devoted to single-server multi-class service systems in which work conservation is violated in the sense that the server's activities may be interrupted although work is still present. For a large class of such systems with interruptions, a decomposition of the amount of work into two independent components is obtained; one of these components is the amount of work in the corresponding systemwithout interruptions. The work decomposition gives rise to a (pseudo)conservation law for mean waiting times, just as work conservation did for the system without interruptions.     

A two-station queue with dependent preparation and service times

We discuss a single-server multi-station alternating queue where the preparation times and the service times are auto- and cross-correlated. We examine two cases. In the first case, preparation and service times depend on a common discrete time Markov chain. In the second case, we assume that the service times depend on the previous preparation time through their joint Laplace transform. The waiting time process is directly analysed by solving a Lindley-type equation via transform methods. Numerical examples are included to demonstrate the effect of the auto-correlation of and the cross-correlation between the preparation and service times.     

Disjointness preserving C0-semigroups and local operators on ordered Banach spaces

We generalize results concerning ${\mathrm{C}}_0$-semigroups on Banach lattices to a setting of ordered Banach spaces. We prove that the generator of a disjointness preserving ${\mathrm{C}}_0$-semigroup is local. Some basic properties of local operators are also given. We investigate cases where local operators generate local ${\mathrm{C}}_0$-semigroups, by using Taylor series or Yosida approximations. As norms we consider regular norms and show that bands are closed with respect to such norms. Our proofs rely on the theory of embedding pre-Riesz spaces in vector lattices and on corresponding extensions of regular norms.     

Reduced-Load Equivalence and Induced Burstiness in GPS Queues with Long-Tailed Traffic Flows

We analyze the queueing behavior of long-tailed traffic flows under the Generalized Processor Sharing (GPS) discipline. We show a sharp dichotomy in qualitative behavior, depending on the relative values of the weight parameters. For certain weight combinations, an individual flow with long-tailed traffic characteristics is effectively served at a constant rate. The effective service rate may be interpreted as the maximum average traffic rate for the flow to be stable, which is only influenced by the traffic characteristics of the other flows through their average rates. In particular, the flow is essentially immune from excessive activity of flows with heavier-tailed traffic characteristics. In many situations, the effective service rate is simply the link rate reduced by the aggregate average rate of the other flows. This confirms that GPS-based scheduling algorithms provide a potential mechanism for extracting significant multiplexing gains, while isolating individual flows. For other weight combinations however, a flow may be strongly affected by the activity of heavier-tailed flows, and may inherit their traffic characteristics, causing induced burstiness. The stark contrast in qualitative behavior illustrates the crucial importance of the weight parameters.