Useful Martingales for Stochastic Storage Processes with Lévy-Type Input

DOI10.1239/jap/1371648952zbMath1274.60272arXiv1112.4756OpenAlexW2119098405MaRDI QIDQ5299569

Offer Kella, Onno J. Boxma

Publication date: 26 June 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4756

zbMATH Keywords

Kella-Whitt martingaleLevy storage systemLevy-type process

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Processes in random environments (60K37) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (6)

Lévy Processes, Phase-Type Distributions, and Martingales ⋮ A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue ⋮ Lowest priority waiting time distribution in an accumulating priority Lévy queue ⋮ Unifying the Dynkin and Lebesgue–Stieltjes formulae ⋮ Lévy Processes with Two-Sided Reflection ⋮ Decomposition results for stochastic storage processes and queues with alternating Lévy inputs

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