The class of distributions associated with the generalized Pollaczek-Khinchine formula

Details The class of distributions associated with the generalized Pollaczek-Khinchine formula The class of distributions associated with the generalized Pollaczek-Khinchine formula

2011-11-30

arxiv.org/abs/1111.7099v1

Mathematics

Probability

7 pages

Scientific paper

The goal is to identify the class of distributions to which the distribution of the maximum of a L\'evy process with no negative jumps and negative mean (equivalently, the stationary distribution of the reflected process) belongs. An explicit new distributional identity is obtained for the case where the L\'evy process is an independent sum of a Brownian motion and a general subordinator (nondecreasing L\'evy process) in terms of a geometrically distributed sum of independent random variables. This generalizes both the distributional form of the standard Pollaczeck-Khinchine formula for stationary workload distribution in the M/G/1 queue and the exponential stationary distribution of a reflected Brownian motion.

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