Asymptotic Analysis of A Backward-Forward Parabolic Problem for Data-Handling Systems
Consider the following model for a ``heavy traffic data-handling system: Let \(\xi(t)\) be an Ornstein-Uhlenbeck process and \(y(t)\) be the process defined by \[ y(t)\geq 0,\;\forall t\geq 0;\qquad \dot y(t)= \begin{cases} \xi(t)- a,& y(t)> 0;\\ 0, & y(t)= 0.\end{cases} \] For \(a> 0\), define the joint steady state distribution \[ \overline F(\xi, y) d\xi= \lim_{t\to\infty} \text{Prob}[\xi(t)\in (\xi,\xi+ d\xi),\;y(t)\leq y]. \] Set \(\xi= a\eta\), \(y= ax\), \(\varepsilon= a^{-2}\). Then the function \(F(\eta, x)=\overline F(\xi,y)\) satisfies the following equation \[ (\eta- 1)F_x= \varepsilon F_{\eta\eta}+ (\eta F)_\eta,\;x\geq 0,\;-\infty< \eta< \infty,\;F(\eta, 0)= 0,\;\eta> 1,\;\int^\infty_{-\infty}F(\eta, \infty) d\eta= \sqrt\varepsilon. \] An explicit, albeit complicated, formula for \(\overline F\) has been computed by the author and \textit{J. A. Morrison} [SIAM J. Math. 51, No. 1, 187-213 (1991; Zbl 0716.60115)]. In the present paper, the author computes by the saddle-point method the asymptotic expansion of \(F(\eta, x)\) as \(\varepsilon\to 0^+\). m13.
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