Title of article
The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails
Author/Authors
Hansen، نويسنده , , Niels Richard and Jensen، نويسنده , , Anders Tolver، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
13
From page
579
To page
591
Abstract
We consider the reflection of an additive process with negative drift controlled by a Markov chain on a finite state space. We determine the tail behaviour of the distribution of the maximum over a regenerative cycle in the case with subexponential increments. Based on this, the asymptotic distribution of the running maximum is derived. Applications of the results to Markov modulated single server queueing systems are given.
Keywords
Heavy tails , extremes , Markov additive processes , subexponential distributions , Markov chains , Markov modulated queues , Regeneration , Regular variation
Journal title
Stochastic Processes and their Applications
Serial Year
2005
Journal title
Stochastic Processes and their Applications
Record number
1577588
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