On the Dynamics of a Finite Buffer Queue Conditioned on the Amount of Loss

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.

Publication
Queueing Systems 67(2):91–110
large deviations reflected Brownian motion local time
Xiaowei Zhang

My research interests include AI simulation, reinforcement learning, and stochastic optimization with applications in business operations, finance, and digital economy.