Multi-dimensional Bessel processes as heavy traffic limits of certain tandem queues (Q1819474)

Limit theorems are considered for a two-dimensional birth and death process representing the queue lengths at the first and second stations of a two-stage tandem queue. There is a constant arrival rate \(\lambda_ 0\), and for \(i=1,2\) there is a service rate \(\lambda_ i(x_ i)\) dependent on the queue length \(x_ i\) at station i. It is assumed that for large \(x_ i\), \(\lambda_ i(x_ i)\) behaves like \(\lambda_ 0- a_ i/x_ i\), so that the queue is in heavy-traffic conditions. Two types of model are considered, the first having no limits on the number of customers at each stage and the second having finite waiting rooms. Two-dimensional Bessel diffusions are obtained as limit processes. These are defined on the non-negative orthant for the first model and on a bounded subset of it for the second.