Diffusion approximation of an infinite-server queue under Markovian environment with rapid switching

DOI10.1016/J.SPL.2023.109778MaRDI QIDQ6101719zbMATH OpenOpenAlexFDO

Authors Ankita Sen, N. Selvaraju

Publication date 20 June 2023

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2023.109778

zbMATH Keywords

diffusion approximationinfinite-server queueMarkov-modulated non-homogeneous Poisson processmartingale central limit theoremtime-dependent martingale problem

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Queueing theory (aspects of probability theory) (60K25) Processes in random environments (60K37)

Review text

It is provided an asymptotic analysis of an infinite-server queueing system where both non-homogeneous arrival process and service process are modulated by an underlying Markov process in the CLT (central limit theorem) regime. In particular, it is shown that under this specific regime, the diffusion scaled queue length process converges to an Ornstein-Uhlenbeck process (with time-varying coefficients), a continuous Gaussian process with zero mean, and the associated time-independent covariance term determines the asymptotic variabilities of the queueing dynamics and transition processes according to \(\beta\) leading to a trichotomy.

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Cites work

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Cited in

(4)

• scientific article; zbMATH DE number 7274266 (Why is no real title available?)
• The strong law of large numbers and a functional central limit theorem for general Markov additive processes
• Multi-scale diffusion approximations for stochastic networks in random environments under heavy-traffic
• Functional limiting behaviour of non-stationary marked Hawkes processes under multi-scaling high-intensity regime

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