Diffusion Approximations for Storage Processes with General Release Rules

DOI10.1287/MOOR.9.3.459MaRDI QIDQ3218897zbMATH OpenOpenAlexFDO

Authors Keigo Yamada

Publication date 1984

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.9.3.459

zbMATH Keywords

Bessel process with negative driftcompound Poisson processstorage processes

Mathematics Subject Classification ID

Brownian motion (60J65) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Queues and service in operations research (90B22)

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Cited in

(12)

• A limit theorem for nonnegative additive functionals of storage processes
• Some exponential type bounds for hitting time distributions of storage processes
• A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems
• Reflecting or sticky Markov processes with Lévy generators as the limit of storage processes
• A diffusion approximation for a network of reservoirs with power law release rule
• Multi-dimensional Bessel processes as heavy traffic limits of certain tandem queues
• Storage processes in Poisson approximation scheme
• A discrete-time storage process with a general release rule
• First exit times and diffusion approximations for storage models with Poisson inputs, Poisson outputs and deterministic release rule
• Central limit theorem for semi-Markov random evolutions
• Recurrence-transience criteria for storage processes and their applications
• Integrating streaming and file-transfer internet traffic: fluid and diffusion approximations

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