Queues and Lévy Fluctuation Theory (häftad)
Format
Häftad (Paperback / softback)
Språk
Engelska
Serie
Universitext
Antal sidor
255
Utgivningsdatum
2015-08-14
Förlag
Springer International Publishing AG
Dimensioner
234 x 156 x 14 mm
Vikt
381 g
ISBN
9783319206929

Queues and Lévy Fluctuation Theory

Häftad,  Engelska, 2015-08-14
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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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Övrig information

Krzysztof D?bicki is a professor at the University of Wroc?aw, Poland. His research interests lie in extreme value analysis of stochastic processes and their applications in risk and queueing theory. His work is focused on extremes and boundary crossing probabilities of Gaussian and Lévy processes, limit theorems and stochastic networks. He serves as an associate editor of Queueing Systems and Probability and Mathematical Statistics. Michel Mandjes is a professor at the University of Amsterdam, the Netherlands; he is also part-time with Eurandom and CWI; he previously worked at Bell Labs (Murray Hill), and had a sabbatical at Stanford. His research focuses on queueing theory and stochastic process analysis, with operations-research-type applications. He is author of the book Large Deviations for Gaussian Queues. He serves as an associate editor of Queueing Systems, Stochastic Systems, Stochastic Models, and Advances in Applied Probability / Journal of Applied Probability.