Quasi-product forms for Levy-driven fluid networks

Details Quasi-product forms for Levy-driven fluid networks Quasi-product forms for Levy-driven fluid networks

2005-12-06

arxiv.org/abs/math/0512119v2

Mathematics of Operations Research, 32, 629-647, 2007

Mathematics

Probability

Small revision. References are updated. To appear in Mathematics of Operations Research

Scientific paper

10.1287/moor.1070.0259

We study stochastic tree fluid networks driven by a multidimensional Levy process. We are interested in (the joint distribution of) the steady-state content in each of the buffers, the busy periods, and the idle periods. To investigate these fluid networks, we relate the above three quantities to fluctuations of the input Levy process by solving a multidimensional Skorokhod reflection problem. This leads to the analysis of the distribution of the componentwise maximums, the corresponding epochs at which they are attained, and the beginning of the first last-passage excursion. Using the notion of splitting times, we are able to find their Laplace transforms. It turns out that, if the components of the Levy process are `ordered', the Laplace transform has a so-called quasi-product form. The theory is illustrated by working out special cases, such as tandem networks and priority queues.

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