On the excursions of reflected local time processes and stochastic fluid queues

T Konstantopoulos, Andreas E Kyprianou, P Salminen

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper we extend our previous work. We consider the local-time process L of a strong Markov process X, add negative drift to L, and reflect it à la Skorokhod to obtain a process Q. The reflection of X, together with Q, is, in some sense, a macroscopic model for a service system with two priorities. We derive an expression for the joint law of the duration of an excursion, the maximum value of the process on it, and the time between successive excursions. We work with a properly constructed stationary version of the process. Examples are also given in the paper.
Original languageEnglish
Pages (from-to)79-98
Number of pages20
JournalJournal of Applied Probability
Volume48A
DOIs
Publication statusPublished - Aug 2011

Fingerprint Dive into the research topics of 'On the excursions of reflected local time processes and stochastic fluid queues'. Together they form a unique fingerprint.

Cite this