Tail asymptotics for a random sign Lindley recursion

Maria Vlasiou; Zbigniew Palmowski

doi:10.1239/jap/1269610817

Tail asymptotics for a random sign Lindley recursion

Maria Vlasiou, Zbigniew Palmowski

Research output: Contribution to journal › Article › Academic › peer-review

1 Citation (Scopus)

Abstract

We investigate the tail behaviour of the steady state distribution of a stochastic recursion that generalises Lindley's recursion. This recursion arises in queuing systems with dependent interarrival and service times, and includes alternating service systems and carousel storage systems as special cases. We obtain precise tail asymptotics in three qualitatively different cases, and compare these with existing results for Lindley's recursion and for alternating service systems.

Original language	English
Pages (from-to)	72-83
Journal	Journal of applied probability
Volume	47
Issue number	1
DOIs	https://doi.org/10.1239/jap/1269610817
Publication status	Published - 1 Mar 2010
Externally published	Yes

Keywords

math.PR
math.ST
stat.TH
60F10

Access to Document

10.1239/jap/1269610817

Cite this

@article{25573bd0f8da406684cd5ef9c5e58b42,

title = "Tail asymptotics for a random sign Lindley recursion",

abstract = " We investigate the tail behaviour of the steady state distribution of a stochastic recursion that generalises Lindley's recursion. This recursion arises in queuing systems with dependent interarrival and service times, and includes alternating service systems and carousel storage systems as special cases. We obtain precise tail asymptotics in three qualitatively different cases, and compare these with existing results for Lindley's recursion and for alternating service systems. ",

keywords = "math.PR, math.ST, stat.TH, 60F10",

author = "Maria Vlasiou and Zbigniew Palmowski",

note = "12 pages, 22 references",

year = "2010",

month = mar,

day = "1",

doi = "10.1239/jap/1269610817",

language = "English",

volume = "47",

pages = "72--83",

journal = "Journal of applied probability",

issn = "0021-9002",

publisher = "Cambridge University Press",

number = "1",

}

TY - JOUR

T1 - Tail asymptotics for a random sign Lindley recursion

AU - Vlasiou, Maria

AU - Palmowski, Zbigniew

N1 - 12 pages, 22 references

PY - 2010/3/1

Y1 - 2010/3/1

N2 - We investigate the tail behaviour of the steady state distribution of a stochastic recursion that generalises Lindley's recursion. This recursion arises in queuing systems with dependent interarrival and service times, and includes alternating service systems and carousel storage systems as special cases. We obtain precise tail asymptotics in three qualitatively different cases, and compare these with existing results for Lindley's recursion and for alternating service systems.

AB - We investigate the tail behaviour of the steady state distribution of a stochastic recursion that generalises Lindley's recursion. This recursion arises in queuing systems with dependent interarrival and service times, and includes alternating service systems and carousel storage systems as special cases. We obtain precise tail asymptotics in three qualitatively different cases, and compare these with existing results for Lindley's recursion and for alternating service systems.

KW - math.PR

KW - math.ST

KW - stat.TH

KW - 60F10

U2 - 10.1239/jap/1269610817

DO - 10.1239/jap/1269610817

M3 - Article

SN - 0021-9002

VL - 47

SP - 72

EP - 83

JO - Journal of applied probability

JF - Journal of applied probability

IS - 1

ER -

Tail asymptotics for a random sign Lindley recursion

Abstract

Keywords

Access to Document

Fingerprint

Cite this