Sojourns of fractional Brownian motion queues: transient asymptotics

被引:0
|
作者
Krzysztof Dȩbicki
Enkelejd Hashorva
Peng Liu
机构
[1] University of Wrocław,Mathematical Institute
[2] University of Lausanne,Department of Actuarial Science
[3] UNIL-Dorigny,School of Mathematics, Statistics and Actuarial Science
[4] University of Essex,undefined
来源
Queueing Systems | 2023年 / 105卷
关键词
Sojourn time; Fractional Brownian motion; Stationary queueing process; Exact asymptotics; Generalized Berman-type constants; Primary 60G15; Secondary 60G70;
D O I
暂无
中图分类号
学科分类号
摘要
We study the asymptotics of sojourn time of the stationary queueing process Q(t),t≥0\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$Q(t),t\ge 0$$\end{document} fed by a fractional Brownian motion with Hurst parameter H∈(0,1)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$H\in (0,1)$$\end{document} above a high threshold u. For the Brownian motion case H=1/2\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$H=1/2$$\end{document}, we derive the exact asymptotics of P∫T1T2I(Q(t)>u+h(u))dt>x|Q(0)>u\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\begin{aligned} {\mathbb {P}} \left\{ \int _{T_1}^{T_2}{\mathbb {I}}(Q(t)>u+h(u))d t>x \Big |Q(0) >u \right\} \end{aligned}$$\end{document}as u→∞\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$u\rightarrow \infty $$\end{document}, where T1,T2,x≥0\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$T_1,T_2, x\ge 0$$\end{document} and T2-T1>x\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$T_2-T_1>x$$\end{document}, whereas for all H∈(0,1)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$H\in (0,1)$$\end{document}, we obtain sharp asymptotic approximations of P1v(u)∫[T2(u),T3(u)]I(Q(t)>u+h(u))dt>y|1v(u)∫[0,T1(u)]I(Q(t)>u)dt>x,x,y>0\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\begin{aligned}{} & {} {\mathbb {P}} \left\{ \frac{1}{v(u)} \int _{[T_2(u),T_3(u)]}{\mathbb {I}}(Q(t)\!>\!u\!+\!h(u))dt\!>\!y \Bigl |\frac{1}{v(u)} \int _{[0,T_1(u)]}{\mathbb {I}}(Q(t)\!>\!u)dt\!>\!x \right\} ,\\{} & {} \quad x,y >0 \end{aligned}$$\end{document}as u→∞\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$u\rightarrow \infty $$\end{document}, for appropriately chosen Ti\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$T_i$$\end{document}’s and v. Two regimes of the ratio between u and h(u), that lead to qualitatively different approximations, are considered.
引用
收藏
页码:139 / 170
页数:31
相关论文
共 50 条
  • [1] Sojourns of fractional Brownian motion queues: transient asymptotics
    Debicki, Krzysztof
    Hashorva, Enkelejd
    Liu, Peng
    QUEUEING SYSTEMS, 2023, 105 (1-2) : 139 - 170
  • [2] ASYMPTOTICS OF THE PERSISTENCE EXPONENT OF INTEGRATED FRACTIONAL BROWNIAN MOTION AND FRACTIONALLY INTEGRATED BROWNIAN MOTION
    AURZADA, F.
    KILIAN, M.
    THEORY OF PROBABILITY AND ITS APPLICATIONS, 2022, 67 (01) : 77 - 88
  • [3] Skorokhod Reflection Problem for Delayed Brownian Motion with Applications to Fractional Queues
    Ascione, Giacomo
    Leonenko, Nikolai
    Pirozzi, Enrica
    SYMMETRY-BASEL, 2022, 14 (03):
  • [4] Wasserstein asymptotics for the empirical measure of fractional Brownian motion on a flat torus
    Huesmann, Martin
    Mattesini, Francesco
    Trevisan, Dario
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2023, 155 (1-26) : 1 - 26
  • [5] SOJOURNS AND FUTURE INFIMA OF PLANAR BROWNIAN-MOTION
    HU, Y
    SHI, Z
    PROBABILITY THEORY AND RELATED FIELDS, 1995, 103 (03) : 329 - 348
  • [6] Asymptotics for the Green's functions of a transient reflected Brownian motion in a wedge
    Franceschi, Sandro
    Kourkova, Irina
    Petit, Maxence
    QUEUEING SYSTEMS, 2024, : 321 - 382
  • [7] Is it Brownian or fractional Brownian motion?
    Li, Meiyu
    Gencay, Ramazan
    Xue, Yi
    ECONOMICS LETTERS, 2016, 145 : 52 - 55
  • [8] Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics
    Debicki, Krzysztof
    Ji, Lanpeng
    Novikov, Svyatoslav
    EXTREMES, 2024, : 613 - 641
  • [9] Transient aging in fractional Brownian and Langevin-equation motion
    Kursawe, Jochen
    Schulz, Johannes
    Metzler, Ralf
    PHYSICAL REVIEW E, 2013, 88 (06):
  • [10] TRANSIENT ASYMPTOTICS OF LEVY-DRIVEN QUEUES
    Debicki, Krzysztof
    Es-Saghouani, Abdelghafour
    Mandjes, Michel
    JOURNAL OF APPLIED PROBABILITY, 2010, 47 (01) : 109 - 129