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

DOI10.1017/S0956792515000030MaRDI QIDQ4594537zbMATH OpenOpenAlexFDO

Authors Qiang Zhen, Charles Knessl

Publication date 24 November 2017

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

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

zbMATH Keywords

asymptotic expansionssingular perturbationdiffusion processes

Mathematics Subject Classification ID

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

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.

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