ENGLISH

Queues and Lévy Fluctuation Theory

By Krzysztof Dębicki , Michel Mandjes (auth.)

Book information

Publisher
Springer International Publishing
Year
2015
ISBN
978-3-319-20692-9, 978-3-319-20693-6
DOI
10.1007/978-3-319-20693-6
Language
english
Format
PDF
Filesize
2 MB (2545256 bytes)
Series
Universitext
Edition
1
Pages
XI, 255\256
Time added
2015-11-25 16:51:03
Probability Theory and Stochastic Processes; Appli

Description

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 postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.

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