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Asymptotic expansions for functionals of dilation of point processes

Part of: Stochastic processes Computer system organization

Published online by Cambridge University Press:  14 July 2016

A. A. Borovkov
A. A. Borovkov*
Affiliation:
Institute of Mathematics, Novosibirsk
*
∗Postal address: Institute of Mathematics, Novosibirsk, 630090, Russia.
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Abstract

This paper provides a direct approach to obtaining formulas for derivatives of functionals of point processes in rare perturbation analysis ([2], [6]). Results are obtained for arbitrary (not necessarily stationary) point processes in and d, d 2, under transparent conditions, close to minimal. Formulas for higher-order derivatives allow one to construct asymptotical expansions. The results can be useful in sensitivity analysis, in light traffic theory for queues and for computation by simulation of derivatives at positive intensity, while the computation of the derivatives via statistical estimation of the functional itself and its increments usually gives poor results.

Keywords

SENSITIVITY ANALYSISRARE PERTURBATION ANALYSISLIGHT TRAFFIC

MSC classification

Primary: 60G55: Point processes 68M20: Performance evaluation; queueing; scheduling
Type
Research Papers
Information
Journal of Applied Probability , Volume 33 , Issue 2 , September 1996 , pp. 573 - 591
Copyright
Copyright © Applied Probability Trust 1996 

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Footnotes

The work was supported by grants from Ministère de la Recherche of France, INRIA and INTAS.

References

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