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Queues and Levy Fluctuation Theory
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Artikel-Nr:
9783319206936
Veröffentl:
2015
Einband:
PDF
Seiten:
255
Autor:
Krzysztof Debicki
Serie:
Universitext
eBook Typ:
PDF
eBook Format:
PDF
Kopierschutz:
Adobe DRM [Hard-DRM]
Sprache:
Englisch
Beschreibung:
The book provides an extensive introduction to queueing models driven by Levy-processes as well as a systematic account of the literature on Levy-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 Levy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance.Queues and Levy Fluctuation Theory will appeal to postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.
The book provides an extensive introduction to queueing models driven by Levy-processes as well as a systematic account of the literature on Levy-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 Levy traffic models arise when modelling current queueing-type systems (as communication networks) and includes applications to finance.Queues and Levy Fluctuation Theory will appeal to postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.