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Distributions of suprema of Lévy processes via the heavy traffic invariance principle. (English) Zbl 1048.60038

Summary: We study the relationship between the distribution of the supremum functional \(M_X=\sup_{0\leq t<\infty} (X(t)-\beta t)\) for a process \(X\) with stationary, but not necessarily independent increments, and the limiting distribution of an appropriately normalized stationary waiting time for G/G/1 queues in heavy traffic. As a by-product we obtain explicit expressions for the distribution of \(M_X\) in several special cases of Lévy processes.

MSC:

60G51 Processes with independent increments; Lévy processes
60G10 Stationary stochastic processes
60E07 Infinitely divisible distributions; stable distributions
60G18 Self-similar stochastic processes
60K25 Queueing theory (aspects of probability theory)