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

Dec 9, 2010·
Xiaowei Zhang
Xiaowei Zhang
Peter W. Glynn
Peter W. Glynn
· 0 min read
DOI
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
publications
Large Deviations Reflected Brownian Motion Local Time
Xiaowei Zhang
Authors
Xiaowei Zhang
I am an Associate Professor at HKUST, jointly appointed in the Department of Industrial Engineering and Decision Analytics and the Department of Economics, and the Academic Director of the MSc in FinTech program. I serve as an Associate Editor for several leading journals in the field, including Management Science, Operations Research, Navel Research Logistics, and Queueing Systems.
Peter W. Glynn
Authors
Peter W. Glynn
Thomas W. Ford Professor in the Department of Management Science and Engineering, Stanford University.