Convexity of a set of stochastically ordered random variables

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Abstract
It is shown that a set of random variables with increasing and convex (concave) survival functions are stochastically increasing and convex (concave) in the sample path sense. This stochastic convexity (concavity) result is then used to establish convexity (concavity) results for (i) a single-server queueing system with a time-out control policy, (ii) residual life, (iii) stationary renewal excess life and (iv) M/G/1 queues. These results are new and could not be derived without the direct or indirect aid of the above stochastic convexity (concavity) result. Furthermore, we illustrate that the above stochastic convexity (concavity) result can be applied to obtain new bounds for queueing systems. Specifically, let be the waiting time of the nth customer in a GI/G/1 queue with inter-arrival time survival function and service time survival function . Using the above convexity result it is shown that if and for some such that then for all increasing convex functions φ, whenever the expectations exist. A similar result for and is also obtained. Other examples are also included.

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