Reflecting diffusions and queueing networks

DOI10.4171/DMS/1-3/32MaRDI QIDQ1126824zbMATH OpenFDO

Authors R. J. Williams

Publication date 5 August 1998

Published in Documenta Mathematica (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/224170, http://www.emis.de/journals/DMJDMV/xvol-icm/12/Williams.MAN.html

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zbMATH Keywords

Brownian motioncustomer classfluid limitheavy trafficmulticlass networkssemimartingalestate space collapse

Mathematics Subject Classification ID

Brownian motion (60J65) Queueing theory (aspects of probability theory) (60K25)

Review text

Let \(Z(t)\) be the \(K\)-vector of numbers of customers at time \(t\) in an open queueing network with \(J\) stations and \(K\) customer classes and \(W(t)\) be the \(J\)-vector of workloads at the \(J\) stations. This paper surveys recent progress on a classical problem, when these processes after appropriate scaling have multidimensional reflected Brownian motion in an orthant as their heavy-traffic limit. The conditions involve multiplicative state space collapse as discussed by Bramson in the paper reviewed above.

Recommendations

• Open Queueing Networks in Heavy Traffic
• Brownian models of multiclass queueing networks: Current status and open problems
• State space collapse for queueing networks

Cited in

(10)

• Rejoinder on: Light tail asymptotics in multidimensional reflecting processes for queueing networks
• Existence and characterization of product-form invariant distributions for state-dependent stochastic networks in the heavy-traffic diffusion limit
• Monotonicity properties of multi-dimensional reflected diffusions in random environment and applications
• The busy cycle of the reflected superposition of Brownian motion and a compound Poisson process
• The reflection map with discontinuities.
• A geometric drift inequality for a reflected fractional Brownian motion process on the positive orthant
• Boundary behavior and product-form stationary distributions of jump diffusions in the orthant with state-dependent reflections
• On product-form stationary distributions for reflected diffusions with jumps in the positive orthant
• State-space collapse in stationarity and its application to a multiclass single-server queue in heavy traffic
• Diffusion approximations for multiclass queueing networks under preemptive priority service discipline

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