Time-changing and truncating K-capacity queues from one K to another

1991 ◽  
Vol 28 (3) ◽  
pp. 647-655 ◽  
Author(s):  
Paul Glasserman ◽  
Wei-Bo Gong

For , we obtain a K′- capacity queue from a K- capacity queue through a random time change and a truncation, provided arrivals are Poisson or service is exponential. In the case of an M/G/1/K queue, the time change erases service intervals that begin with more than K′ customers in the systems. This construction yields a straightforward sample path proof of Keilson's result on the proportionality of the ergodic queue length probabilities in M/G/1/K queues. The same approach proves a strengthened result for ‘detailed' state probabilities. It also reproduces a proportionality result for a vacation model, due to Keilson and Servi. A ‘dual' construction yields a different kind of proportionality for the G/M/1/K queue.

1991 ◽  
Vol 28 (03) ◽  
pp. 647-655 ◽  
Author(s):  
Paul Glasserman ◽  
Wei-Bo Gong

For , we obtain a K′- capacity queue from a K- capacity queue through a random time change and a truncation, provided arrivals are Poisson or service is exponential. In the case of an M/G/1/K queue, the time change erases service intervals that begin with more than K′ customers in the systems. This construction yields a straightforward sample path proof of Keilson's result on the proportionality of the ergodic queue length probabilities in M/G/1/K queues. The same approach proves a strengthened result for ‘detailed' state probabilities. It also reproduces a proportionality result for a vacation model, due to Keilson and Servi. A ‘dual' construction yields a different kind of proportionality for the G/M/1/K queue.


2014 ◽  
Vol 14 (04) ◽  
pp. 1450005
Author(s):  
Jing Wu

In this paper we consider Stratonovich type multi-valued stochastic differential equations (MSDEs) driven by general semimartingales. Based on an existence and uniqueness result for MSDEs with respect to continuous semimartingales, we apply the random time change and approximation technique to prove existence and uniqueness of solutions to Stratonovich type multi-valued SDEs driven by general semimartingales with summable jumps.


1988 ◽  
Vol 25 (01) ◽  
pp. 210-214 ◽  
Author(s):  
Timothy C. Brown ◽  
M. Gopalan Nair

A simple proof of the multivariate random time change theorem of Meyer (1971) is given. This result includes Watanabe's (1964) characterization of the Poisson process; even in this special case the present proof is simpler than existing proofs.


1988 ◽  
Vol 25 (1) ◽  
pp. 210-214 ◽  
Author(s):  
Timothy C. Brown ◽  
M. Gopalan Nair

A simple proof of the multivariate random time change theorem of Meyer (1971) is given. This result includes Watanabe's (1964) characterization of the Poisson process; even in this special case the present proof is simpler than existing proofs.


2020 ◽  
Vol 24 ◽  
pp. 739-769
Author(s):  
Hun O ◽  
Mun-Chol Kim ◽  
Chol-Kyu Pak

In this paper, we suggest an effective technique based on random time-change for dealing with a large class of backward stochastic differential equations (BSDEs for short) with stochastic Lipschitz coefficients. By means of random time-change, we show the relation between the BSDEs with stochastic Lipschitz coefficients and the ones with bounded Lipschitz coefficients and stopping terminal time, so they are possible to be exchanged with each other from one type to another. In other words, the stochastic Lipschitz condition is not essential in the context of BSDEs with random terminal time. Using this technique, we obtain a couple of new results of BSDEs with stochastic Lipschitz (or monotone) coefficients.


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