The heavy traffic limit of a class of Markovian queueing models (Q1095501)

Consider a Markov chain on an infinite bivariate state space with transition matrix of the form \[ \left[\begin{matrix} K(0)& H(1)& H(2)& H(3)& ... \\ K(1)& G(0)& G(1)& G(2)& ... \\ K(2)& G(-1)& G(0)& G(1)& ... \\ K(3)& G(-2)& G(-1)& G(0)& ... \\ \vdots& & &\vdots &\ddots \end{matrix}\right] \] where the G(i) are \(m\times m\) matrices. (Special cases are transition matrices of G/M/1- and M/G/1-type.) The variable i of K(i) denotes the ``level'' of the associated subset of the state space. The paper presents a ``heavy traffic'' approximation of the level process by reflected Brownian motion. From this, approximations of transient and ergodic behaviour are obtained.