A limit theorem for nonnegative additive functionals of storage processes
Consider a storage process \[ X(t)=X(0)- \int^{t}_{0}r(X(s))ds+\sum^{N(t)}_{i=1}S_ i, \] where \(\{S_ i\}\) is a sequence of nonnegative i.i.d. random variables with mean \(\mu\) and finite third moment, N(t) is a Poisson process of parameter \(\lambda\) independent of \(\{S_ i\}\) and r(x) is a nondecreasing nonnegative function with \(r(0)=0\), \(\sup_{x\geq 0}r(x)=\bar r.\) The author investigates the limit behaviour of X(t), when \(\lambda \mu =\bar r\), i.e. when the input rate is equal to the maximal output rate. Let \(f\geq 0\) be a bounded measurable function with compact support defined on the real line and \[ Z_ n(f)(t)=(n\lambda ES^ 2_ 1)^{- 1/2}\int_{0}^{nt}f(X(s))ds. \] For a suitable class of functions f and for \(r(x)=\bar r\) when \(x>0\) it is shown that the sequence \(\{Z_ n(f)\}\) converges weakly in D[0,T], T arbitrary, to a process represented as constant times the local time of a Bessel process at zero. In the case when \(\lim_{x\to \infty}x(\bar r-r(x))=c>0\), the sequence \(\{Z_ n(f)\}\) converges weakly to the null process. This paper is related to the previous paper of the author, Math. Oper. Res. 9, 459-470 (1984; Zbl 0555.60056).
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