Tail asymptotics for the delay in a Brownian fork-join queue

DOI10.1016/J.SPA.2023.06.013zbMATH Open1524.60242arXiv2208.04796OpenAlexW4382934376MaRDI QIDQ6072902FDOQ6072902

Authors: Dennis Schol, M. Vlasiou, Bert Zwart 

Publication date: 15 September 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this paper, we study the tail behavior of $$ as $Noinfty$, with $(W_i,ileqN)$ i.i.d. Brownian motions and $W_A$ an independent Brownian motion. This random variable can be seen as the maximum of $N$ mutually dependent Brownian queues, which in turn can be interpreted as the backlog in a Brownian fork-join queue. In previous work, we have shown that this random variable centers around $$. Here, we analyze the rare-event that this random variable reaches the value $$, with $a>0$. It turns out that its probability behaves roughly as a power law with $N$, where the exponent depends on $a$. However, there are three regimes, around a critical point $a^{star}$; namely, $0<a<a^{star}$, $a=a^{star}$, and $a>a^{star}$. The latter regime exhibits a form of asymptotic independence, while the first regime reveals highly irregular behavior with a clear dependence structure among the $N$ suprema, with a nontrivial transition at $a=a^{star}$.

Full work available at URL: https://arxiv.org/abs/2208.04796

zbMATH Keywords

tail asymptoticsextreme-value theoryfork-join queuesBrownian queues

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65)

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Cited In (2)

• Exact tail asymptotics for a three-dimensional Brownian-driven tandem queue with intermediate inputs
• On the maxima of suprema of dependent Gaussian models

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