Some martingales related to cumulative sum tests and single-server queues

DOI10.1016/0304-4149(76)90014-4zbMath0338.60030OpenAlexW2067492499MaRDI QIDQ1231226

Douglas P. Kennedy

Publication date: 1976

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(76)90014-4

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65)

Related Items (12)

On the Use of the SPRT in Determining the Properties of Some CUSUM Procedures ⋮ On the Transient Behavior of Ehrenfest and Engset Processes ⋮ LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ Lévy processes conditioned on having a large height process ⋮ On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications ⋮ Distributional Properties of CUSUM Stopping Times ⋮ On hitting times for jump-diffusion processes with past dependent local characteristics ⋮ On absorption probabilities for a random walk between two different barriers ⋮ Martingales and buffer overflow for the symmetric shortest queue model ⋮ Martingale methods for the semi-markov analysis of queues with blocking ⋮ Quickest detection with exponential penalty for delay ⋮ FIRST-PASSAGE TIMES FOR SOME LINDLEY PROCESSES IN CONTINUOUS TIME

Cites Work

• A stopped Brownian motion formula
• The Effect of Serial Correlation on the Performance of CUSUM Tests
• Deviations from monotonicity of a Wiener process with drift
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