Martingale proofs of many-server heavy-traffic limits for Markovian queues
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Publication:980768
DOI10.1214/06-PS091zbMATH Open1189.60067arXiv0712.4211OpenAlexW3101606912MaRDI QIDQ980768FDOQ980768
Authors: Guodong Pang, Rishi Talreja, Ward Whitt 
Publication date: 29 June 2010
Published in: Probability Surveys (Search for Journal in Brave)
Abstract: This is an expository review paper illustrating the ``martingale method for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximations. Careful treatment is given to an elementary model -- the classical infinite-server model , but models with finitely many servers and customer abandonment are also treated. The Markovian stochastic process representing the number of customers in the system is constructed in terms of rate-1 Poisson processes in two ways: (i) through random time changes and (ii) through random thinnings. Associated martingale representations are obtained for these constructions by applying, respectively: (i) optional stopping theorems where the random time changes are the stopping times and (ii) the integration theorem associated with random thinning of a counting process. Convergence to the diffusion process limit for the appropriate sequence of scaled queueing processes is obtained by applying the continuous mapping theorem. A key FCLT and a key FWLLN in this framework are established both with and without applying martingales.
Full work available at URL: https://arxiv.org/abs/0712.4211
Recommendations
martingalesdiffusion approximationsfunctional central limit theoremsmany-server heavy-traffic limits for queuesmultiple-server queues
Queueing theory (aspects of probability theory) (60K25) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Functional limit theorems; invariance principles (60F17) Martingales with continuous parameter (60G44)
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