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

DOI10.1016/J.SPA.2023.06.013MaRDI QIDQ6072902zbMATHOpenAlexFDO

Authors Dennis Schol, M. Vlasiou, Bert Zwart

Publication date 15 September 2023

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

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)

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 $a=a^{star}$.

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Cited in

(2)

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

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