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Queues and Lévy Fluctuation Theory

2015-08-06 Mathematics
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Release : 2015-08-06
Genre : Mathematics
Kind : eBook
Book Rating : 931/5 ( reviews)

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Book Synopsis Queues and Lévy Fluctuation Theory by : Krzysztof Dębicki

Download or read book Queues and Lévy Fluctuation Theory written by Krzysztof Dębicki. This book was released on 2015-08-06. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Introductory Lectures on Fluctuations of Lévy Processes with Applications

2006-12-18 Mathematics
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Release : 2006-12-18
Genre : Mathematics
Kind : eBook
Book Rating : 435/5 ( reviews)

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Book Synopsis Introductory Lectures on Fluctuations of Lévy Processes with Applications by : Andreas E. Kyprianou

Download or read book Introductory Lectures on Fluctuations of Lévy Processes with Applications written by Andreas E. Kyprianou. This book was released on 2006-12-18. Available in PDF, EPUB and Kindle. Book excerpt: This textbook forms the basis of a graduate course on the theory and applications of Lévy processes, from the perspective of their path fluctuations. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of Lévy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical transparency and explicitness.

Lévy Processes

1996-07-13 Mathematics
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Release : 1996-07-13
Genre : Mathematics
Kind : eBook
Book Rating : 430/5 ( reviews)

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Book Synopsis Lévy Processes by : Jean Bertoin

Download or read book Lévy Processes written by Jean Bertoin. This book was released on 1996-07-13. Available in PDF, EPUB and Kindle. Book excerpt: This is an up-to-date and comprehensive account of the theory of Lévy processes. This branch of modern probability theory has been developed over recent years and has many applications in such areas as queues, mathematical finance and risk estimation. Professor Bertoin has used the powerful interplay between the probabilistic structure (independence and stationarity of the increments) and analytic tools (especially Fourier and Laplace transforms) to give a quick and concise treatment of the core theory, with the minimum of technical requirements. Special properties of subordinators are developed and then appear as key features in the study of the local times of real-valued Lévy processes and in fluctuation theory. Lévy processes with no positive jumps receive special attention, as do stable processes. In sum, this will become the standard reference on the subject for all working probability theorists.

Fluctuations of Levy Processes with Applications

2014-01-31
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Release : 2014-01-31
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Kind : eBook
Book Rating : 337/5 ( reviews)

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Book Synopsis Fluctuations of Levy Processes with Applications by : Andreas E. Kyprianou

Download or read book Fluctuations of Levy Processes with Applications written by Andreas E. Kyprianou. This book was released on 2014-01-31. Available in PDF, EPUB and Kindle. Book excerpt:

Introduction to the Theory of Queues

1962 Business & Economics
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Release : 1962
Genre : Business & Economics
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis Introduction to the Theory of Queues by : Lajos Takács

Download or read book Introduction to the Theory of Queues written by Lajos Takács. This book was released on 1962. Available in PDF, EPUB and Kindle. Book excerpt: This book is an introduction to the probabilistic treatment of mass servicing. It deals with different theoretical models which can be applied to the servicing of telephone traffic, airplane operation, road traffic, storage, operation of dams, and customer service.

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