文章基本信息

标题：Two-parameter sample path large deviations for infinite-server queues
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作者：Jose H. Blanchet ; Xinyun Chen ; Henry Lam 等
期刊名称：Stochastic Systems
印刷版ISSN：1946-5238
出版年度：2014
卷号：4
期号：1
页码：206-249
DOI：10.1214/12-SSY080
出版社：Institute for Operations Research and the Management Sciences (INFORMS), Applied Probability Society
摘要：Let Q _λ( t , y ) be the number of people present at time t with y units of remaining service time in an infinite server system with arrival rate equal to λ>0. In the presence of a non-lattice renewal arrival process and assuming that the service times have a continuous distribution, we obtain a large deviations principle for Q _λ( · )/λ under the topology of uniform convergence on [0, T ]×[0,∞). We illustrate our results by obtaining the most likely path, represented as a surface, to ruin in life insurance portfolios, and also we obtain the most likely surfaces to overflow in the setting of loss queues.
关键词：Large deviations; infinite-server queues; two-parameter processes; rare-event tail estimation; life insurance portfolio management