Abstract
This paper is concerned with computing large deviations asymptotics for the loss process in a stylized queueing model that is fed by a Brownian input process. In addition, the dynamics of the queue, conditional on such a large deviation in the loss, is calculated. Finally, the paper computes the quasi-stationary distribution of the system and the corresponding dynamics, conditional on no loss occurring.
Type
Publication
Queueing Systems 67(2):91–110
Xiaowei Zhang
Associate Professor
My research research focuses on methodological advances in stochastic simulation and optimization, decision analytics, and reinforcement learning, with applications in service operations management, financial technology, and digital economy.