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Multi-dimensional Bessel processes as heavy traffic limits of certain tandem queues

Author

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  • Yamada, Keigo

Abstract

For a sequence of multi-dimensional birth and death processes representing tandem queue models, it is shown that suitably normalized processes converge weakly to a certain type of multi-dimensional Bessel diffusions which are characterized as continuous semimartingales satisfying Skorohod type equations.

Suggested Citation

  • Yamada, Keigo, 1986. "Multi-dimensional Bessel processes as heavy traffic limits of certain tandem queues," Stochastic Processes and their Applications, Elsevier, vol. 23(1), pages 35-56, October.
    • Handle: RePEc:eee:spapps:v:23:y:1986:i:1:p:35-56
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    Cited by:

    1. E. G. Coffman & A. A. Puhalskii & M. I. Reiman, 1998. "Polling Systems in Heavy Traffic: A Bessel Process Limit," Mathematics of Operations Research, INFORMS, vol. 23(2), pages 257-304, May.
    2. Martin I. Reiman & Lawrence M. Wein, 1999. "Heavy Traffic Analysis of Polling Systems in Tandem," Operations Research, INFORMS, vol. 47(4), pages 524-534, August.

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