IDEAS home Printed from https://ideas.repec.org/a/spr/queues/v99y2021i1d10.1007_s11134-021-09708-9.html
   My bibliography  Save this article

Shot-noise queueing models

Author

Listed:
  • Onno Boxma

    (Eindhoven University of Technology)

  • Michel Mandjes

    (University of Amsterdam)

Abstract

We provide a survey of so-called shot-noise queues: queueing models with the special feature that the server speed is proportional to the amount of work it faces. Several results are derived for the workload in an M/G/1 shot-noise queue and some of its variants. Furthermore, we give some attention to queues with general workload-dependent service speed. We also discuss linear stochastic fluid networks, and queues in which the input process is a shot-noise process.

Suggested Citation

  • Onno Boxma & Michel Mandjes, 2021. "Shot-noise queueing models," Queueing Systems: Theory and Applications, Springer, vol. 99(1), pages 121-159, October.
    • Handle: RePEc:spr:queues:v:99:y:2021:i:1:d:10.1007_s11134-021-09708-9
    DOI: 10.1007/s11134-021-09708-9
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s11134-021-09708-9
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s11134-021-09708-9?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ivo Adan & Brett Hathaway & Vidyadhar G. Kulkarni, 2019. "On first-come, first-served queues with two classes of impatient customers," Queueing Systems: Theory and Applications, Springer, vol. 91(1), pages 113-142, February.
    2. Onno Boxma & Offer Kella & Michel Mandjes, 2019. "Infinite-server systems with Coxian arrivals," Queueing Systems: Theory and Applications, Springer, vol. 92(3), pages 233-255, August.
    3. Jacobsen, Martin & Jensen, Anders Tolver, 2007. "Exit times for a class of piecewise exponential Markov processes with two-sided jumps," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1330-1356, September.
    4. J. Michael Harrison & Sidney I. Resnick, 1976. "The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule," Mathematics of Operations Research, INFORMS, vol. 1(4), pages 347-358, November.
    5. Eliazar, Iddo & Klafter, Joseph, 2004. "A growth–collapse model: Lévy inflow, geometric crashes, and generalized Ornstein–Uhlenbeck dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 334(1), pages 1-21.
    6. Dassios, Angelos & Jang, Jiwook, 2003. "Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity," LSE Research Online Documents on Economics 2849, London School of Economics and Political Science, LSE Library.
    7. S. W. Fuhrmann & Robert B. Cooper, 1985. "Stochastic Decompositions in the M / G /1 Queue with Generalized Vacations," Operations Research, INFORMS, vol. 33(5), pages 1117-1129, October.
    8. Chamayou, J. M. F., 1978. "On the simulation of shot noise and some other random variables," Stochastic Processes and their Applications, Elsevier, vol. 6(3), pages 305-316, February.
    9. Xuefeng Gao & Lingjiong Zhu, 2018. "Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues," Queueing Systems: Theory and Applications, Springer, vol. 90(1), pages 161-206, October.
    10. Percy H. Brill, 2008. "Level Crossing Methods in Stochastic Models," International Series in Operations Research and Management Science, Springer, number 978-0-387-09421-2, December.
    11. J. Michael Harrison & Sidney I. Resnick, 1978. "The Recurrence Classification of Risk and Storage Processes," Mathematics of Operations Research, INFORMS, vol. 3(1), pages 57-66, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ivo Adan & Onno Boxma & Jacques Resing, 2022. "Functional equations with multiple recursive terms," Queueing Systems: Theory and Applications, Springer, vol. 102(1), pages 7-23, October.
    2. Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2023. "Optimal dividend strategies for a catastrophe insurer," Papers 2311.05781, arXiv.org.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Boxma, Onno & Frostig, Esther & Perry, David & Yosef, Rami, 2017. "A state dependent reinsurance model," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 170-181.
    2. Onno Boxma & David Perry & Wolfgang Stadje, 2022. "Peer-to-Peer Lending: a Growth-Collapse Model and its Steady-State Analysis," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(2), pages 233-258, October.
    3. O. Boxma & A. Löpker & D. Perry, 2016. "On a make-to-stock production/mountain modeln with hysteretic control," Annals of Operations Research, Springer, vol. 241(1), pages 53-82, June.
    4. Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
    5. Dimitris Bertsimas & José Niño-Mora, 1996. "Optimization of multiclass queueing networks with changeover times via the achievable region method: Part II, the multi-station case," Economics Working Papers 314, Department of Economics and Business, Universitat Pompeu Fabra, revised Aug 1998.
    6. Dimitris Bertsimas & José Niño-Mora, 1999. "Optimization of Multiclass Queueing Networks with Changeover Times Via the Achievable Region Approach: Part I, The Single-Station Case," Mathematics of Operations Research, INFORMS, vol. 24(2), pages 306-330, May.
    7. Priyanka Kalita & Gautam Choudhury & Dharmaraja Selvamuthu, 2020. "Analysis of Single Server Queue with Modified Vacation Policy," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 511-553, June.
    8. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 55-65.
    9. Madhu Jain & Sandeep Kaur & Parminder Singh, 2021. "Supplementary variable technique (SVT) for non-Markovian single server queue with service interruption (QSI)," Operational Research, Springer, vol. 21(4), pages 2203-2246, December.
    10. Patrice Bertail & Stéphan Clémençon, 2005. "Regeneration-based Statistics for Harris Recurrent Markov Chains," Working Papers 2005-13, Center for Research in Economics and Statistics.
    11. Yi Peng & Jinbiao Wu, 2020. "A Lévy-Driven Stochastic Queueing System with Server Breakdowns and Vacations," Mathematics, MDPI, vol. 8(8), pages 1-12, July.
    12. Roni, Mohammad S. & Jin, Mingzhou & Eksioglu, Sandra D., 2015. "A hybrid inventory management system responding to regular demand and surge demand," Omega, Elsevier, vol. 52(C), pages 190-200.
    13. Jianjun Li & Liwei Liu & Tao Jiang, 2018. "Analysis of an M/G/1 queue with vacations and multiple phases of operation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(1), pages 51-72, February.
    14. Liu, Wenyue & Cadenillas, Abel, 2023. "Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 69-93.
    15. Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela, 2021. "Hawkes processes in insurance: Risk model, application to empirical data and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 107-124.
    16. Zsolt Saffer & Sergey Andreev & Yevgeni Koucheryavy, 2016. "$$M/D^{[y]}/1$$ M / D [ y ] / 1 Periodically gated vacation model and its application to IEEE 802.16 network," Annals of Operations Research, Springer, vol. 239(2), pages 497-520, April.
    17. Awi Federgruen & Ziv Katalan, 1998. "Determining Production Schedules Under Base-Stock Policies in Single Facility Multi-Item Production Systems," Operations Research, INFORMS, vol. 46(6), pages 883-898, December.
    18. Jau-Chuan Ke, 2006. "An M/G/1 queue under hysteretic vacation policy with an early startup and un-reliable server," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(2), pages 357-369, May.
    19. Bertail, Patrice & Clemencon, Stephan, 2008. "Approximate regenerative-block bootstrap for Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2739-2756, January.
    20. Wang, Haixu, 2022. "Limit theorems for a discrete-time marked Hawkes process," Statistics & Probability Letters, Elsevier, vol. 184(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:queues:v:99:y:2021:i:1:d:10.1007_s11134-021-09708-9. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.