English

On the tail asymptotics of the area swept under the Brownian storage graph

Statistics Theory 2014-03-10 v1 Statistics Theory

Abstract

In this paper, the area swept under the workload graph is analyzed: with {Q(t):t0}\{Q(t) : t\ge0\} denoting the stationary workload process, the asymptotic behavior of πT(u)(u):=P(0T(u)Q(r)dr>u)\pi_{T(u)}(u):={\mathbb{P}}\biggl(\int_0^ {T(u)}Q(r)\,\mathrm{d}r>u\biggr) is analyzed. Focusing on regulated Brownian motion, first the exact asymptotics of πT(u)(u)\pi_{T(u)}(u) are given for the case that T(u)T(u) grows slower than u\sqrt{u}, and then logarithmic asymptotics for (i) T(u)=TuT(u)=T\sqrt{u} (relying on sample-path large deviations), and (ii) u=o(T(u))\sqrt{u}=\mathrm{o}(T(u)) but T(u)=o(u)T(u)=\mathrm{o}(u). Finally, the Laplace transform of the residual busy period are given in terms of the Airy function.

Keywords

Cite

@article{arxiv.1403.1665,
  title  = {On the tail asymptotics of the area swept under the Brownian storage graph},
  author = {Marek Arendarczyk and Krzysztof Dȩbicki and Michel Mandjes},
  journal= {arXiv preprint arXiv:1403.1665},
  year   = {2014}
}

Comments

Published in at http://dx.doi.org/10.3150/12-BEJ491 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)