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Informatika i Ee Primeneniya [Informatics and its Applications], 2016, Volume 10, Issue 2, Pages 98–106
DOI: https://doi.org/10.14357/19922264160212
(Mi ia422)
 

This article is cited in 2 scientific papers (total in 2 papers)

Multivariate fractional Levy motion and its applications

Yu. S. Khokhlov

Department of Mathematical Statistics, Faculty of Computational Mathematics and Cybernetics, M. V. Lomonosov Moscow State University, 1-52 Leninskiye Gory, GSP-1, Moscow 119991, Russian Federation
Full-text PDF (187 kB) Citations (2)
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Abstract: Since the beginning of the 1990s, many empirical studies of real telecoomunication systems traffic have been conducted. It was found that traffic has some specific properties, which are different from common voice traffic, namely, it has the properties of self-similarity and long-range dependence and the distribution of loading size from one source has heavy tails. Some new models have been constructed, where these features were captured. Brownian fractional motion and $\alpha$-stable Levy motion are the well-known examples. But both of these models do not have all of the above properties. More complicated models have been proposed using some combination of these ones. In particular, the authors have proposed a variant of univariate fractional Levy motion. This paper considers a multivariate analog of fractional Levy motion. This process is multivariate fractional Brownian motion with random change of time, where random change of time is Levy motion with one-sided stable distributions. The properties of this process are investigated and it is proven that it is self-similar and has stationary increments. Next, it is shown that the coordinates of one-dimensional sections of this process have the distributions which are not stable. But asymptotic of tails for these distributions is the same as for the stable ones. This model is applied to analyze heterogeneous traffic and to get a lower asymptotic bound of the probability of overflow of at least one buffer. There are other possible applications.
Keywords: fractional Brownian motion; $\alpha$-stable subordinator; self-similar processes; buffer overflow probability.
Funding agency Grant number
Russian Science Foundation 14-11-00364
The work was supported by the Russian Science Foundation (project 14-11-00364).
Received: 01.12.2015
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: Yu. S. Khokhlov, “Multivariate fractional Levy motion and its applications”, Inform. Primen., 10:2 (2016), 98–106
Citation in format AMSBIB
\Bibitem{Kho16}
\by Yu.~S.~Khokhlov
\paper Multivariate fractional Levy motion and its applications
\jour Inform. Primen.
\yr 2016
\vol 10
\issue 2
\pages 98--106
\mathnet{http://mi.mathnet.ru/ia422}
\crossref{https://doi.org/10.14357/19922264160212}
\elib{https://elibrary.ru/item.asp?id=26233731}
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  • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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