On the maximum of a perturbed random walk

2014 ◽  
Vol 92 ◽  
pp. 168-172 ◽  
Author(s):  
Alexander Iksanov ◽  
Andrey Pilipenko
Keyword(s):  
Random Walk ◽  
Perturbed Random Walk

scholarly journals PERFORMANCE MEASURES FOR THE TWO-NODE QUEUE WITH FINITE BUFFERS

2019 ◽  
Vol 34 (4) ◽  
pp. 522-549
Author(s):  
Yanting Chen ◽  
Xinwei Bai ◽  
Richard J. Boucherie ◽  
Jasper Goseling
Keyword(s):  
Random Walk ◽  
Performance Measures ◽  
Approximation Scheme ◽  
Queueing System ◽  
Original Model ◽  
Finite Capacity ◽  
Tandem Queue ◽  
Finite Buffers ◽  
Perturbed Random Walk ◽  
Markov Reward

We consider a two-node queue modeled as a two-dimensional random walk. In particular, we consider the case that one or both queues have finite buffers. We develop an approximation scheme based on the Markov reward approach to error bounds in order to bound performance measures of such random walks. The approximation scheme is developed in terms of a perturbed random walk in which the transitions along the boundaries are different from those in the original model and the invariant measure of the perturbed random walk is of product-form. We then apply this approximation scheme to a tandem queue and some variants of this model, for the case that both buffers are finite. The modified approximation scheme and the corresponding applications for a two-node queueing system in which only one of the buffers has finite capacity have also been discussed.

scholarly journals Tail asymptotics for the maximum of perturbed random walk

2006 ◽  
Vol 16 (3) ◽  
pp. 1411-1431 ◽  
Author(s):  
Victor F. Araman ◽  
Peter W. Glynn
Keyword(s):  
Random Walk ◽  
Tail Asymptotics ◽  
Perturbed Random Walk

scholarly journals Diffusion approximations for the maximum of a perturbed random walk

2005 ◽  
Vol 37 (3) ◽  
pp. 663-680
Author(s):  
Victor F. Araman ◽  
Peter W. Glynn
Keyword(s):  
Random Walk ◽  
Random Walks ◽  
Operations Management ◽  
Limit Theorems ◽  
Stationary Sequence ◽  
Risk Theory ◽  
Insurance Risk ◽  
Diffusion Approximations ◽  
Limit Theory ◽  
Perturbed Random Walk

Consider a random walk S=(Sn: n≥0) that is ‘perturbed’ by a stationary sequence (ξn: n≥0) to produce the process S=(Sn+ξn: n≥0). In this paper, we are concerned with developing limit theorems and approximations for the distribution of Mn=max{Sk+ξk: 0≤k≤n} when the random walk has a drift close to 0. Such maxima are of interest in several modeling contexts, including operations management and insurance risk theory. The associated limits combine features of both conventional diffusion approximations for random walks and extreme-value limit theory.

scholarly journals Diffusion approximations for the maximum of a perturbed random walk

2005 ◽  
Vol 37 (03) ◽  
pp. 663-680
Author(s):  
Victor F. Araman ◽  
Peter W. Glynn
Keyword(s):  
Random Walk ◽  
Random Walks ◽  
Operations Management ◽  
Limit Theorems ◽  
Stationary Sequence ◽  
Risk Theory ◽  
Insurance Risk ◽  
Diffusion Approximations ◽  
Limit Theory ◽  
Perturbed Random Walk

Consider a random walk S=(S n : n≥0) that is ‘perturbed’ by a stationary sequence (ξ n : n≥0) to produce the process S=(S n +ξ n : n≥0). In this paper, we are concerned with developing limit theorems and approximations for the distribution of M n =max{S k +ξ k : 0≤k≤n} when the random walk has a drift close to 0. Such maxima are of interest in several modeling contexts, including operations management and insurance risk theory. The associated limits combine features of both conventional diffusion approximations for random walks and extreme-value limit theory.

Elements of the Random Walk

2004 ◽  
Author(s):  
Joseph Rudnick ◽  
George Gaspari
Keyword(s):  
Random Walk
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