Queues and Lévy Fluctuation Theory

by Krzysztof Debicki (Author), Michel Mandjes (Author)
Combines Lévy-based fluctuation theory and queueing theory

From the Back Cover
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 graduate/postgraduate students and researchers in mathematics, computer science, and electrical engineering. Basic prerequisites are probability theory and stochastic processes.

About the Author
Krzysztof Dębicki is a professor at the University of Wrocław, 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.

Number of Illustrations and Tables
12 illus.

Topics
Probability Theory and Stochastic Processes
Applications of Mathematics