On recurrence of the multidimensional Lindley process
Probability
2018-01-08 v2 Dynamical Systems
Abstract
A Lindley process arises from classical studies in queueing theory and it usually reflects waiting times of customers in single server models. In this note we study recurrence of its higher dimensional counterpart under some mild assumptions on the tail behaviour of the underlying random walk. There are several links between the Lindley process and the associated random walk and we build upon such relations. We apply a method related to discrete subordination for random walks on the integer lattice together with various facts from the theory of fluctuations of random walks.
Cite
@article{arxiv.1707.01714,
title = {On recurrence of the multidimensional Lindley process},
author = {Wojciech Cygan and Judith Kloas},
journal= {arXiv preprint arXiv:1707.01714},
year = {2018}
}