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arXiv · 1403.1665

On the tail asymptotics of the area swept under the Brownian storage graph

Marek Arendarczyk·Krzysztof Dȩbicki·Michel Mandjes
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Abstract

In this paper, the area swept under the workload graph is analyzed: with $\{Q(t) : t\ge0\}$ denoting the stationary workload process, the asymptotic behavior of \[π_{T(u)}(u):={\mathbb{P}}\biggl(\int_0^ {T(u)}Q(r)\,\mathrm{d}r>u\biggr)\] is analyzed. Focusing on regulated Brownian motion, first the exact asymptotics of $π_{T(u)}(u)$ are given for the case that $T(u)$ grows slower than $\sqrt{u}$, and then logarithmic asymptotics for (i) $T(u)=T\sqrt{u}$ (relying on sample-path large deviations), and (ii) $\sqrt{u}=\mathrm{o}(T(u))$ but $T(u)=\mathrm{o}(u)$. Finally, the Laplace transform of the residual busy period are given in terms of the Airy function.

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Marek Arendarczyk, Krzysztof Dȩbicki, Michel Mandjes. 2014-03-07. On the tail asymptotics of the area swept under the Brownian storage graph. https://doi.org/10.3150/12-bej491

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