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On the expected number of crossings of a level in certain stochastic processes

Published online by Cambridge University Press:  14 July 2016

P. B. M. Roes*
Affiliation:
Technological University, Delft, and The University of Western Australia

Abstract

We consider a stochastic process which increases and decreases by simple jumps as well as smoothly. The rate of smooth increase and decrease with time is a function of the state of the process. The process is not constant in time except when in the zero state. For such processes a relation is derived between the expected number of true crossings (as opposed to skippings by which we mean vertical crossings due to jumps) of a level x, say, and the time dependent distribution of the process. This result is applied to the virtual waiting time process of the GI/G/1 queue, where it is of particular interest when the zero level is considered, as the underlying crossing process is then a renewal process. It leads to a new derivation of the busy period distribution for this system. This serves as an example for the last brief section, where an indication is given as to how this method may be applied to the GI/G/s queue. Naturally, the present method is most powerful when the original process is a Markov process, so that renewal processes are imbedded at all levels. For an application to the M/G/1 queue, see Roes [3].

Type
Short Communications
Copyright
Copyright © Applied Probability Trust 1970 

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References

[1] Cohen, J. W. (1969) The Single Server Queue. North Holland, Amsterdam.Google Scholar
[2] Pollaczek, F. (1961) Théorie Analytique des Problèmes Stochastiques Relatifs à un Groupe de Lignes Téléphoniques avec Dispositif d'Attente. Gauthier-Villars et Cie, Paris.Google Scholar
[3] Roes, P. B. M. (1970) The Finite Dam II. J. Appl. Prob. 7.Google Scholar