Compound geometric approximation under a failure rate constraint

Abstract

We consider compound geometric approximation for a nonnegative, integer-valued random variable $W$. The bound we give is straightforward but relies on having a lower bound on the failure rate of $W$. Applications are presented to M/G/1 queuing systems, for which we state explicit bounds in approximations for the number of customers in the system and the number of customers served during a busy period. Other applications are given to birth-death processes and Poisson processes.

arXiv comment17 pages; improvements to main result (Theorem 1.1) and corollories, and minor editing elsewhere