On the excursions of reflected local time processes and stochastic fluid queues


Konstantopoulos, Takis, Kyprianou, Andreas E and Salminen, Paavo (2010) On the excursions of reflected local time processes and stochastic fluid queues. Journal of Applied Probability.

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Abstract

This paper extends previous work by the authors. We consider the local time process of a strong Markov process, add negative drift, and reflect it \`a la Skorokhod. The resulting process is used to model a fluid queue. We derive an expression for the joint law of the duration of an excursion, the maximum value of the process on it, and the time distance between successive excursions. We work with a properly constructed stationary version of the process. Examples are also given in the paper.

Item Type: Article
Additional Information: 29 pages, 4 figures
Uncontrolled Keywords: math.PR, math.PR, 60G51, 60G10, 90B15
Depositing User: Symplectic Admin
Date Deposited: 23 Aug 2018 06:16
Last Modified: 19 Jan 2023 01:26
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3025411
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