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 denoting the stationary workload process, the asymptotic behavior of is analyzed. Focusing on regulated Brownian motion, first the exact asymptotics of are given for the case that grows slower than , and then logarithmic asymptotics for (i) (relying on sample-path large deviations), and (ii) but . 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)