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On the maximum workload of a queue fed by fractional Brownian motion
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On the maximum workload of a queue fed by fractional Brownian motion (2000)On the maximum workload of a queue fed by…Large buffer asymptotics for the queue with fractional Brownian input (1999)Large buffer asymptotics for …Extremes of a certain class of Gaussian processes (1999)Extremes of a certain class o…Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models (1998)Heavy Tails and Long Range De…Extreme Value Theory for Queues Via Cycle Maxima (1998)Extreme Value Theory for Queu…Patterns of buffer overflow in a class of queues with long memory in the input stream (1997)Patterns of buffer overflow i…Fractional Brownian Approximations of Queueing Networks (1996)Fractional Brownian Approxima…Large deviations and overflow probabilities for the general single-server queue, with applications (1995)Large deviations and overflow…A storage model with self-similar input (1994)A storage model with self-sim…Ordinary CLT and WLLN Versions of L = λW (1988)Ordinary CLT and WLLN Version…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equat…Extreme Values in the GI/G/1 Queue (1972)Extreme Values in the GI/G/1 …Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …On the supremum of γ -reflected processes with fractional Brownian motion as input (2013)On the supremum of γ -reflect…Queueing systems with long-range dependent input process and subexponential service times (2003)Queueing systems with long-ra…On the uniqueness of solutions of stochastic differential equations (1971)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)Optimal Investment and Consumption with Transaction Costs (1994)Stochastic Differential Equations (2014)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Applied Probability and Queues (1987)Extreme Values, Regular Variation and Point Processes (1987)Tail probabilities for non-standard risk and queueing processes with subexponential jumps (1999)Rare Events Simulation for Heavy-Tailed Distributions (2000)Applied Probability and Queues (2003)The maximum on a random time interval of a random walk with long-tailed increments and negative drift (2003)Multiple channel queues in heavy traffic. I (1970)Laws of Large Numbers for Sums of Extreme Values (1982)The Single Server Queue (1983)The Single Server Queue. (1983)Efficient scalable schemes for monitoring a large number of data streams (2010)Stability, queue length, and delay of deterministic and stochastic queueing networks (1994)Large deviations, the shape of the loss curve, and economies of scale in large multiplexers (1995)On the tails of waiting-time distributions (1975)The Impact of Autocorrelation on Queuing Systems (1993)Heavy tail modeling and teletraffic data: special invited paper (1997)Is Network Traffic Appriximated by Stable Lévy Motion or Fractional Brownian Motion? (2002)Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)Stochastic Theory of a Data-Handling System with Multiple Sources (1982)Matrix-Geometric Solutions to Stochastic Models (1984)Exact Buffer Overflow Calculations for Queues via Martingales (2002)Finite-Buffer Queues with Workload-Dependent Service and Arrival Rates (2005)A Fluid Limit for an Overloaded X Model via a Stochastic Averaging Principle (2012)Wavelet analysis of long-range-dependent traffic (1998)A multifractal wavelet model with application to network traffic (1999)A wavelet-based joint estimator of the parameters of long-range dependence (1999)Ruin probability for Gaussian integrated processes (2002)Extremes of Gaussian processes over an infinite horizon (2004)On the ruin probability for physical fractional Brownian motion (2004)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)
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References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1994A storage model with self-similar input848 cited
  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 1995Large deviations and overflow probabilities for the general single-server queue, with applications431 cited
  • 1972Extreme Values in the GI/G/1 Queue227 cited
  • 1998Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models176 cited
  • 1999Extremes of a certain class of Gaussian processes146 cited
  • 1998Extreme Value Theory for Queues Via Cycle Maxima76 cited
  • 1997Patterns of buffer overflow in a class of queues with long memory in the input stream72 cited
  • 1988Ordinary CLT and WLLN Versions of L = λW64 cited
  • 1999Large buffer asymptotics for the queue with fractional Brownian input50 cited
  • 1996Fractional Brownian Approximations of Queueing Networks37 cited

Cited by

  • 2013On the supremum of γ -reflected processes with fractional Brownian motion as input39 cited
  • 2003Queueing systems with long-range dependent input process and subexponential service times

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22 cited