Functional central limit theorems for Markov-modulated infinite-server systems

Abstract : In this paper we study the Markov-modulated M/M/∞ queue, with a focus on the correlation structure of the number of jobs in the system. The main results describe the system's asymptotic behavior under a particular scaling of the model parameters in terms of a functional central limit theorem. More specifically, relying on the martingale central limit theorem, this result is established, covering the situation in which the arrival rates are sped up by a factor N and the transition rates of the background process by N α , for some α > 0. The results reveal an interesting dichotomy, with crucially different behavior for α > 1 and α < 1, respectively. The limiting Gaussian process, which is of the Ornstein-Uhlenbeck type, is explicitly identified, and it is shown to be in accordance with explicit results on the mean, variances and covariances of the number of jobs in the system.
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Submitted on : Friday, January 15, 2016 - 12:05:24 PM
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J Blom, Koen de Turck, M Mandjes. Functional central limit theorems for Markov-modulated infinite-server systems. Mathematical Methods of Operations Research, Springer Verlag, 2016, 83, pp.351-372. ⟨10.1007/s00186-016-0531-7 ⟩. ⟨hal-01256748⟩

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