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Moments and tails in monotone-separable stochastic networks
11 references·8 citing·42 second hop
Moments and tails in monotone-separable stochastic networks (2004)Moments and tails in monotone-separable s…Tail probabilities for non-standard risk and queueing processes with subexponential jumps (1999)Tail probabilities for non-st…Sampling at subexponential times, with queueing applications (1999)Sampling at subexponential ti…Appendix: A primer on heavy-tailed distributions (1999)Appendix: A primer on heavy-t…Modelling Extremal Events (1997)Modelling Extremal EventsLarge deviations results for subexponential tails, with applications to insurance risk (1996)Large deviations results for …On the saturation rule for the stability of queues (1995)On the saturation rule for th…Ergodicity of Jackson-type queueing networks (1994)Ergodicity of Jackson-type qu…The fork-join queue and related systems with synchronization constraints: stochastic ordering and computable bounds (1989)The fork-join queue and relat…How large delays build up in a GI/G/1 queue (1989)How large delays build up in …Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Estimates for the probability…Asymptotic behaviour of Wiener-Hopf factors of a random walk (1977)Asymptotic behaviour of Wiene…On Large Delays in Multi-Server Queues with Heavy Tails (2012)On Large Delays in Multi-Serv…Poisson hail on a hot ground (2011)Poisson hail on a hot groundOn the transition from heavy traffic to heavy tails for the M/G/1 queue: The regularly varying case (2011)On the transition from heavy …Asymptotic analysis of Lévy-driven tandem queues (2008)Asymptotic analysis of Lévy-d…Discrete and Continuous Time Modulated Random Walks with Heavy-Tailed Increments (2007)Discrete and Continuous Time …Tails in generalized Jackson networks with subexponential service-time distributions (2005)Tails in generalized Jackson …Asymptotics of Subexponential Max Plus Networks: the Stochastic Event Graph Case (2004)Asymptotics of Subexponential…A Note on Veraverbeke's Theorem (2004)A Note on Veraverbeke's Theor…Applied Probability and Queues (1987)Modelling of extremal events in insurance and finance (1994)The maximum on a random time interval of a random walk with long-tailed increments and negative drift (2003)On the controversy over tailweight of distributions (2004)Improved algorithms for rare event simulation with heavy tails (2006)Mathematical Methods in Risk Theory (1970)Subexponential distributions and integrated tails (1988)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks (2003)The stability of a queue with non-independent inter-arrival and service times (1962)Jobshop-Like Queueing Systems (1963)Stability and structural properties of stochastic storage networks (1996)Piecewise linear test functions for stability and instability of queueing networks (1997)Moments and Tails in Monotone-Separable Stochastic Networks (2001)Jobshop-Like Queueing Systems (2004)Extreme Values, Regular Variation and Point Processes (1987)Overshoots and undershoots of Levy processes (2005)Overshoots and undershoots of Lévy processes (2006)Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)Subexponentiality of the product of independent random variables (1994)Ruin probabilities and aggregrate claims distributions for shot noise Cox processes (2006)Precise large deviations of aggregate claims in a size-dependent renewal risk model (2012)Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims (2013)Asymptotic Methods in Queueing Theory. (1986)Instability of FIFO Queueing Networks (1994)Stability of Generalized Jackson Networks (1994)The G-queue with heterogeneous servers: Steady state solution and an application to performance evaluation (2006)Extreme Values in the GI/G/1 Queue (1972)On the tails of waiting-time distributions (1975)The Single Server Queue. (1983)Subexponential distributions and characterizations of related classes (1989)Ruin probabilities and overshoots for general Lévy insurance risk processes (2004)Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes (2004)Comparison Methods for Queues and Other Stochastic Models (1984)Comparison Methods for Queues and Other Stochastic Models. (1986)Queueing models for systems with synchronization constraints (1989)Interpolation approximations for symmetric Fork-Join queues (1994)Queueing with redundant requests: exact analysis (2016)Strong, Weak and False Inverse Power Laws (2005)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)
this work references cited by second hop

References

  • 1997Modelling Extremal Events4,397 cited
  • 1982Estimates for the probability of ruin with special emphasis on the possibility of large claims388 cited
  • 1977Asymptotic behaviour of Wiener-Hopf factors of a random walk225 cited
  • 1989The fork-join queue and related systems with synchronization constraints: stochastic ordering and computable bounds162 cited
  • 1999Appendix: A primer on heavy-tailed distributions141 cited
  • 1996Large deviations results for subexponential tails, with applications to insurance risk117 cited
  • 1995On the saturation rule for the stability of queues101 cited
  • 1999Tail probabilities for non-standard risk and queueing processes with subexponential jumps100 cited
  • 1994Ergodicity of Jackson-type queueing networks97 cited
  • 1999Sampling at subexponential times, with queueing applications97 cited
  • 1989How large delays build up in a GI/G/1 queue81 cited

Cited by

  • 2004A Note on Veraverbeke's Theorem55 cited
  • 2007Discrete and Continuous Time Modulated Random Walks with Heavy-Tailed Increments54 cited
  • 2011On the transition from heavy traffic to heavy tails for the M/G/1 queue: The regularly varying case27 cited
  • 2005

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Tails in generalized Jackson networks with subexponential service-time distributions
27 cited
  • 2008Asymptotic analysis of Lévy-driven tandem queues27 cited
  • 2012On Large Delays in Multi-Server Queues with Heavy Tails26 cited
  • 2004Asymptotics of Subexponential Max Plus Networks: the Stochastic Event Graph Case26 cited
  • 2011Poisson hail on a hot ground15 cited