Functional central limit theorems for Markov-modulated infinite-server systems

DOI10.1007/S00186-016-0531-7MaRDI QIDQ530417zbMATH OpenOpenAlexFDO

Authors J. G. Blom, Koen De Turck, M. R. H. Mandjes

Publication date 1 August 2016

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.02791, https://ir.cwi.nl/pub/24666

zbMATH Keywords

central limit theoremsinfinite-server systemsMarkov modulationqueues

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Queues and service in operations research (90B22)

Abstract: In this paper we study the Markov-modulated M/M/$infty$ queue, with a focus on the correlation structure of the number of jobs in the system. The main results describe the system's asymptotic behavior under a particular scaling of the model parameters in terms of a functional central limit theorem. More specifically, relying on the martingale central limit theorem, this result is established, covering the situation in which the arrival rates are sped up by a factor $N$ and the transition rates of the background process by $N^{a}lpha$, for some $alpha>0$. The results reveal an interesting dichotomy, with crucially different behavior for $alpha>1$ and $alpha<1$, respectively. The limiting Gaussian process, which is of the Ornstein-Uhlenbeck type, is explicitly identified, and it is shown to be in accordance with explicit results on the mean, variances and covariances of the number of jobs in the system.

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Cites work

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• Markov-modulated infinite-server queues with general service times
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Cited in

(15)

• On the functional and local limit theorems for Markov modulated compound Poisson processes
• A functional central limit theorem for Markov additive arrival processes and its applications to queueing systems
• Refined large deviations asymptotics for Markov-modulated infinite-server systems
• Queues on a dynamically evolving graph
• Infinite server queues in a random fast oscillatory environment
• Stationary analysis of certain Markov-modulated reflected random walks in the quarter plane
• A numerical approach for evaluating the time-dependent distribution of a quasi birth-death process
• A functional central limit theorem for the \(M/GI/\infty \) queue
• Functional large deviations for Cox processes and \(Cox / G / \infty\) queues, with a biological application
• A functional central limit theorem for a Markov-modulated infinite-server queue
• A central limit theorem for Markov-modulated infinite-server queues
• The Time-Dependent Mean and Variance of the Non-Stationary Markovian Infinite Server System
• Markov-modulated infinite-server queues with general service times
• DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS
• Analysis of Markov-modulated infinite-server queues in the central-limit regime

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