On the distribution of storage processes from the class $V(\varphi ,\psi )$
Authors:
R. E. Yamnenko and O. S. Shramko
Translated by:
S. Kvasko
Journal:
Theor. Probability and Math. Statist. 83 (2011), 191-206
MSC (2010):
Primary 60G07; Secondary 60K25
DOI:
https://doi.org/10.1090/S0094-9000-2012-00851-X
Published electronically:
February 2, 2012
MathSciNet review:
2768858
Full-text PDF Free Access
Abstract |
References |
Similar Articles |
Additional Information
Abstract: Estimates for the distribution of a storage process \[ Q(t)=\sup _{s\le t}\big (X(t)-X(s)-(f(t)-f(s))\big )\] are obtained in the paper, where $(X(t),t\in T)$ is a stochastic process belonging to the class $V(\varphi ,\psi )$ and where the service output rate $f(t)$ is a continuous function. In particular, the results hold if $(X(t),t\in T)$ is a Gaussian process. Several examples of applications of the results obtained in the paper are given for sub-Gaussian stationary stochastic processes.
References
- R. Addie, P. Mannersalo, and I. Norros, Most probable paths and performance formulae for buffers with Gaussian input traffic, Eur. Trans. Telecommun. 13 (3) (2002), 183–196.
- Patrick Boulongne, Daniel Pierre-Loti-Viaud, and Vladimir Piterbarg, On average losses in the ruin problem with fractional Brownian motion as input, Extremes 12 (2009), no. 1, 77–91. MR 2480724, DOI https://doi.org/10.1007/s10687-008-0069-z
- V. V. Buldygin and Yu. V. Kozachenko, Metric characterization of random variables and random processes, Translations of Mathematical Monographs, vol. 188, American Mathematical Society, Providence, RI, 2000. Translated from the 1998 Russian original by V. Zaiats. MR 1743716
- N. G. Duffield and Neil O’Connell, Large deviations and overflow probabilities for the general single-server queue, with applications, Math. Proc. Cambridge Philos. Soc. 118 (1995), no. 2, 363–374. MR 1341797, DOI https://doi.org/10.1017/S0305004100073709
- Yu. V. Kozachenko and E. I. Ostrovskiĭ, Banach spaces of random variables of sub-Gaussian type, Teor. Veroyatnost. i Mat. Statist. 32 (1985), 42–53, 134 (Russian). MR 882158
- Yu. V. Kozachenko and Yu. A. Koval′chuk, Boundary value problems with random initial conditions, and functional series from ${\rm sub}_\phi (\Omega )$. I, Ukraïn. Mat. Zh. 50 (1998), no. 4, 504–515 (Russian, with English and Ukrainian summaries); English transl., Ukrainian Math. J. 50 (1998), no. 4, 572–585 (1999). MR 1698149, DOI https://doi.org/10.1007/BF02487389
- Olga Vasylyk, Yuriy Kozachenko, and Rostyslav Yamnenko, Upper estimate of overrunning by ${\rm Sub}_\phi (\Omega )$ random process the level specified by continuous function, Random Oper. Stochastic Equations 13 (2005), no. 2, 111–128. MR 2152102, DOI https://doi.org/10.1163/156939705323383832
- Laurent Massoulie and Alain Simonian, Large buffer asymptotics for the queue with fractional Brownian input, J. Appl. Probab. 36 (1999), no. 3, 894–906. MR 1737061, DOI https://doi.org/10.1239/jap/1032374642
- Ilkka Norros, A storage model with self-similar input, Queueing Systems Theory Appl. 16 (1994), no. 3-4, 387–396. MR 1278465, DOI https://doi.org/10.1007/BF01158964
- I. Norros, On the use of fractional Brownian motions in the theory of connectionless networks, IEEE Journal on selected areas in communications 13 (1995), no. 6, 953–962.
- Rostyslav Yamnenko, Ruin probability for generalized $\phi $-sub-Gaussian fractional Brownian motion, Theory Stoch. Process. 12 (2006), no. 3-4, 261–275. MR 2316577
- Rostyslav Yamnenko and Olga Vasylyk, Random process from the class $V(\phi ,\psi )$: exceeding a curve, Theory Stoch. Process. 13 (2007), no. 4, 219–232. MR 2482262
- Yu. V. Kozachenko, O. I. Vasylyk, and R. E. Yamnenko, $\varphi$-sub-Gaussian Stochastic Processes, Kyiv University, Kyiv, 2008. (Ukrainian)
References
- R. Addie, P. Mannersalo, and I. Norros, Most probable paths and performance formulae for buffers with Gaussian input traffic, Eur. Trans. Telecommun. 13 (3) (2002), 183–196.
- P. Boulongne, D. Pierre-Loti-Viaud, and V. Piterbarg, On average losses in the ruin problem with fractional Brownian motion as input, Extremes 12 (2009), 77–91. MR 2480724 (2010f:60115)
- V. V. Buldygin and Yu. V. Kozachenko, Metric Characterization of Random Variables and Random Processes, TViMS, Kiev, 1998; English transl., American Mathematical Society, Providence, RI, 2000. MR 1743716 (2001g:60089)
- N. G. Duffield and N. O’Connell, Large deviations and overflow probabilities for the general single-server queue, with applications, Math. Proc. Cambridge Phil. Soc. 118 (1995), 363–374. MR 1341797 (96f:60039)
- Yu. V. Kozachenko and E. I. Ostrovskii, Banach spaces random variables of sub-Gaussian type, Teor. Veroyatnost. i Mat. Statist. 32 (1985), 42–53; English transl. in Theory Probab. Math. Statist. 32 (1986), 45–56. MR 882158 (88e:60009)
- Yu. V. Kozachenko and Yu. A. Kovalchuk, Boundary value problems with random initial conditions, and functional series from $Sub_\varphi (\Omega )$, I, Ukrain. Mat. Zh. 50 (1998), no. 4, 504–515; English transl. in Ukrainian Math. J. 50 (1999), no. 4, 572–585. MR 1698149 (2000f:60029)
- Yu. Kozachenko, O. Vasylyk, and R. Yamnenko, Upper estimate of overrunning by $Sub_\varphi (\Omega )$ random process the level specified by continuous function, Random Oper. and Stoch. Equ. 13 (2005), no. 2, 111–128. MR 2152102 (2006b:60207)
- L. Massoulie and A. Simonian, Large buffer asymptotics for the queue with fractional Brownian input, J. Appl. Probab. 36 (1999), 894–906. MR 1737061 (2000i:60108)
- I. Norros, A storage model with self-similar input, Queueing Syst. 16 (1994), 387–396. MR 1278465 (95a:60142)
- I. Norros, On the use of fractional Brownian motions in the theory of connectionless networks, IEEE Journal on selected areas in communications 13 (1995), no. 6, 953–962.
- R. Yamnenko, Ruin probability for generalized $\varphi$-sub-Gaussian fractional Brownian motion, Theory Stoch. Process. 12 (28) (2006), no. 1–2, 261–275. MR 2316577 (2008g:60109)
- R. Yamnenko and O. Vasylyk, Random process from the class $V(\varphi ,\psi )$: exceeding a curve, Theory Stoch. Process. 13 (29) (2007), no. 4, 219–232. MR 2482262 (2010a:60125)
- Yu. V. Kozachenko, O. I. Vasylyk, and R. E. Yamnenko, $\varphi$-sub-Gaussian Stochastic Processes, Kyiv University, Kyiv, 2008. (Ukrainian)
Similar Articles
Retrieve articles in Theory of Probability and Mathematical Statistics
with MSC (2010):
60G07,
60K25
Retrieve articles in all journals
with MSC (2010):
60G07,
60K25
Additional Information
R. E. Yamnenko
Affiliation:
Department of Probability Theory, Statistics, and Actuarial Mathematics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 2, Kiev 03127, Ukraine
Email:
yamnenko@univ.kiev.ua
O. S. Shramko
Affiliation:
Department of Probability Theory, Statistics, and Actuarial Mathematics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 2, Kiev 03127, Ukraine
Email:
shes21@ukr.net
Keywords:
Metric entropy,
queue,
storage process,
estimate of a distribution,
sub-Gaussian process
Received by editor(s):
April 21, 2010
Published electronically:
February 2, 2012
Article copyright:
© Copyright 2012
American Mathematical Society