On convergence to stationarity of fractional Brownian storage
Mandjes, Michel ; Norros, Ilkka ; Glynn, Peter
Ann. Appl. Probab., Tome 19 (2009) no. 1, p. 1385-1403 / Harvested from Project Euclid
With M(t):=sups∈[0, t]A(s)−s denoting the running maximum of a fractional Brownian motion A(⋅) with negative drift, this paper studies the rate of convergence of ℙ(M(t)>x) to ℙ(M>x). We define two metrics that measure the distance between the (complementary) distribution functions ℙ(M(t)>⋅) and ℙ(M>⋅). Our main result states that both metrics roughly decay as exp(−ϑt2−2H), where ϑ is the decay rate corresponding to the tail distribution of the busy period in an fBm-driven queue, which was computed recently [Stochastic Process. Appl. (2006) 116 1269–1293]. The proofs extensively rely on application of the well-known large deviations theorem for Gaussian processes. We also show that the identified relation between the decay of the convergence metrics and busy-period asymptotics holds in other settings as well, most notably when Gärtner–Ellis-type conditions are fulfilled.
Publié le : 2009-08-15
Classification:  Convergence to stationarity,  fractional Brownian motion,  storage process,  large deviations,  60G15,  60G18,  90B05
@article{1248700622,
     author = {Mandjes, Michel and Norros, Ilkka and Glynn, Peter},
     title = {On convergence to stationarity of fractional Brownian storage},
     journal = {Ann. Appl. Probab.},
     volume = {19},
     number = {1},
     year = {2009},
     pages = { 1385-1403},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1248700622}
}
Mandjes, Michel; Norros, Ilkka; Glynn, Peter. On convergence to stationarity of fractional Brownian storage. Ann. Appl. Probab., Tome 19 (2009) no. 1, pp.  1385-1403. http://gdmltest.u-ga.fr/item/1248700622/