Queues and Lévy Fluctuation Theory

Nonfiction, Science & Nature, Mathematics, Applied, Statistics
Cover of the book Queues and Lévy Fluctuation Theory by Krzysztof Dębicki, Michel Mandjes, Springer International Publishing
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Author: Krzysztof Dębicki, Michel Mandjes ISBN: 9783319206936
Publisher: Springer International Publishing Publication: August 6, 2015
Imprint: Springer Language: English
Author: Krzysztof Dębicki, Michel Mandjes
ISBN: 9783319206936
Publisher: Springer International Publishing
Publication: August 6, 2015
Imprint: Springer
Language: English

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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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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