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Useful martingales for stochastic storage processes with Lévy input. (English) Zbl 0761.60065
The authors apply the general theory of stochastic integration to identify a martingale associated with a Lévy process modified by the addition of a secondary process of bounded variation on every finite interval. This martingale can be applied to queueing and storage models.

MSC:
60J99 Markov processes
60K25 Queueing theory (aspects of probability theory)
60K30 Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
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