Presented in this paper is a general result concerning exponential bounds for the waiting time under continuous state-space Markov chains. This result is applied to a TES (Transform-Expand-Sample)/GI/1 queue, showing a numerical example, and comparing bound with simulation results. Fast simulation techniques based on importance sampling are used in order to obtain accurate estimates of extremely low probabilities.

Proceedings of the 1994 Canadian Conference on Electrical and Computer Engineering. Part 2 (of 2)
Department of Systems and Computer Engineering

Fang, Youjian (Youjian), Devetsikiotis, Michael (Michael), Lambadaris, I, & Kaye, A.Roger (A. Roger). (1994). Exponential bounds for the waiting time of TES/GI/1 queues. In Canadian Conference on Electrical and Computer Engineering (pp. 647–651).