A functional central limit theorem for the M/GI/ queue

DOI10.1214/08-AAP518MaRDI QIDQ2378628zbMATHFDO

Authors Laurent Decreusefond, Pascal Moyal

Publication date 13 January 2009

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0608258

central limit theorem queueing theory fluid limit measure-valued Markov process pure delay system

Queueing theory (aspects of probability theory) (60K25) Functional limit theorems; invariance principles (60F17) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Abstract: In this paper, we present a functional fluid limit theorem and a functional central limit theorem for a queue with an infinity of servers M/GI/

i n f t y

. The system is represented by a point-measure valued process keeping track of the remaining processing times of the customers in service. The convergence in law of a sequence of such processes after rescaling is proved by compactness-uniqueness methods, and the deterministic fluid limit is the solution of an integrated equation in the space

m a t h c a l S^{p r i m e}

of tempered distributions. We then establish the corresponding central limit theorem, that is, the approximation of the normalized error process by a

m a t h c a l S^{p r i m e}

-valued diffusion. We apply these results to provide fluid limits and diffusion approximations for some performance processes.

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