Extremes of Markov-additive Processes with One-sided Jumps, with Queueing Applications

Through Laplace transforms, we study the extremes of a continuous-time Markov-additive process with one-sided jumps and a finite-state background Markovian state-space, jointly with the epoch at which the extreme is ‘attained’. For this, we investigate discrete-time Markov-additive processes and use...

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Bibliographic Details
Published in:	Methodology and computing in applied probability Vol. 13; no. 2; pp. 221 - 267
Main Authors:	Dieker, A. B., Mandjes, M.
Format:	Journal Article
Language:	English
Published:	Boston Springer US 01.06.2011 Springer Nature B.V
Subjects:	Buffers Business and Management Economics Electrical Engineering Laplace transforms Life Sciences Markov analysis Mathematical analysis Mathematical models Mathematics and Statistics Matrices Networks Nonlinearity Probability Queues Queuing Statistics Studies Secondary 90B05 Markov-additive processes Queueing networks Fluctuation theory 60G15 Primary 60K25
ISSN:	1387-5841, 1573-7713
Online Access:	Get full text
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