Some asymptotic results for the transient distribution of the Halfin-Whitt diffusion process

DOI10.1017/S0956792515000030zbMATH Open1387.60122arXiv1309.2704OpenAlexW2093879895MaRDI QIDQ4594537FDOQ4594537

Authors: Qiang Zhen, Charles Knessl 

Publication date: 24 November 2017

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Abstract: We consider the Halfin-Whitt diffusion process $X_d(t)$, which is used, for example, as an approximation to the $m$-server $M/M/m$ queue. We use recently obtained integral representations for the transient density $p(x,t)$ of this diffusion process, and obtain various asymptotic results for the density. The asymptotic limit assumes that a drift parameter $$ in the model is large, and the state variable $x$ and the initial condition $x_0$ (with $X_d(0)=x_0>0$) are also large. We obtain some alternate representations for the density, which involve sums and/or contour integrals, and expand these using a combination of the saddle point method, Laplace method and singularity analysis. The results give some insight into how steady state is achieved, and how if $x_0>0$ the probability mass migrates from $X_d(t)>0$ to the range $X_d(t)<0$, which is where it concentrates as $toinfty$, in the limit we consider. We also discuss an alternate approach to the asymptotics, based on geometrical optics and singular perturbation techniques.

Full work available at URL: https://arxiv.org/abs/1309.2704

Recommendations

• Transient behavior of the Halfin-Whitt diffusion
• Corrected asymptotics for a multi-server queue in the Halfin-Whitt regime
• The limit of stationary distributions of many-server queues in the Halfin-Whitt regime
• A Diffusion Approximation for the G/GI/n/m Queue
• scientific article; zbMATH DE number 3864257

zbMATH Keywords

asymptotic expansionssingular perturbationdiffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25)

Cites Work

• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
• Title not available (Why is that?)
• Analytic combinatorics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The \(G/GI/N\) queue in the Halfin-Whitt regime
• Queues with many servers: the virtual waiting-time process in the QED regime
• Heavy-Traffic Limits for Queues with Many Exponential Servers
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Special issue: Average-case analysis of algorithms
• Asymptotic approximations of integrals
• Title not available (Why is that?)
• Refining square-root safety staffing by expanding Erlang C
• Dimensioning Large Call Centers
• Heavy traffic limits for queues with many deterministic servers
• Title not available (Why is that?)
• On the rate of convergence to stationarity of the M/M/\(n\) queue in the Halfin-Whitt regime
• Transient behavior of the Halfin-Whitt diffusion
• Title not available (Why is that?)
• Diffusion Approximations for a Multiclass Markovian Service System with “Guaranteed” and “Best-Effort” Service Levels
• Uniform asymptotic expansions for Weber parabolic cylinder functions of large orders

Cited In (1)

• Transient behavior of the Halfin-Whitt diffusion

Uses Software

• Digital Library of Mathematical Functions

This page was built for publication: Some asymptotic results for the transient distribution of the Halfin-Whitt diffusion process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4594537)