Two-Barrier Problems in Applied Probability: Algorithms and Analysis

Research output: ThesisDoctoral Thesis (compilation)

Abstract

This thesis consists of five papers (A-E).

In Paper A, we study transient properties of the queue length process

in various queueing settings. We focus on computing the mean and the Laplace

transform of the time required for the queue length starting at $x<n$ to reach level $n$. We use two different techniques. The first one is based on

optional stopping of the Kella-Whitt martingale and the second on more

traditional results on level crossing times of birth-death

processes. Furthermore, we try to find an equivalent to the theory of

the natural scale for diffusion processes to fit into the set-up of

(quasi) birth-death processes.

Paper B investigates reflection of a random walk at

two barriers, 0 and $K$>0. We define the loss rate due to the reflection. The main result is sharp asymptotics for the loss rate as $K$ tends to infinity. As a major example, we consider the case where the increments of the random walk may be written as the difference between two phase-type distributed random variables. In

this example we perform an explicit comparison between asymptotic

and exact results for the loss rate.

Paper C deals with queues and insurance risk processes

where a generic service time, respectively generic claim, has a truncated heavy-tailed distribution. We study the compound Poisson ruin

probability (or, equivalently, the tail of the M/G/1 steady-state waiting time) numerically. Furthermore, we

investigate the asymptotics of the asymptotic

exponential decay rate as the truncation level tends to infinity in a more general truncated Lévy process set-up.

Paper D is a sequel of Paper B. We consider a Lévy process reflected

at 0 and $K$>0 and define the loss rate. The first step is to identify

the loss rate, which is non-trivial in the Lévy process case. The

technique we use is based on optional stopping of the Kella-Whitt

martingale for the reflected process. Once the

identification is performed, we derive asymptotics for the loss rate in the case of a light-tailed Lévy measure.

Paper E is also a sequel of Paper B. We present an algorithm for simulating the loss rate for a reflected random walk. The algorithm is efficient in the sense of bounded relative error.

Key words:

many-server queues, quasi birth-death processes, Kella-Whitt

martingale, optional stopping, heterogeneous servers, reflected random

walks, loss rate, Lundberg's equation, Cramér-Lundberg approximation,

Wiener-Hopf factorization, asymptotics, phase-type distributions,

reflected Lévy processes, light tails, efficient simulation.
Original languageEnglish
QualificationDoctor
Awarding Institution
  • Mathematical Statistics
Supervisors/Advisors
  • Asmussen, Sören, Supervisor
Award date2005 Dec 2
Publisher
ISBN (Print)91-628-6671-0
Publication statusPublished - 2005

Bibliographical note

Defence details

Date: 2005-12-02
Time: 09:15
Place: Matematikcentrum, Sölvegatan 18, sal MH:A

External reviewer(s)

Name: Zwart, Bert
Title: Professor
Affiliation: Tekniska Högskolan i Eindhoven

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Subject classification (UKÄ)

  • Probability Theory and Statistics

Free keywords

  • Statistics
  • operations research
  • programming
  • actuarial mathematics
  • Statistik
  • Matematik
  • Mathematics
  • Naturvetenskap
  • Natural science
  • Reflection
  • Stochastic processes
  • Applied probability
  • Queueing
  • operationsanalys
  • programmering
  • aktuariematematik

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