Rare event asymptotics for a random walk in the quarter plane

  • Authors:
  • Fabrice Guillemin;Johan S. Leeuwaarden

  • Affiliations:
  • Orange Labs, Lannion, France 22300;Department of Mathematics and Computer Science, Eindhoven University of Technology, Eindhoven, The Netherlands 5600 MB

  • Venue:
  • Queueing Systems: Theory and Applications
  • Year:
  • 2011

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Abstract

This paper presents a novel technique for deriving asymptotic expressions for the occurrence of rare events for a random walk in the quarter plane. In particular, we study a tandem queue with Poisson arrivals, exponential service times and coupled processors. The service rate for one queue is only a fraction of the global service rate when the other queue is non-empty; when one queue is empty, the other queue has full service rate. The bivariate generating function of the queue lengths gives rise to a functional equation. In order to derive asymptotic expressions for large queue lengths, we combine the kernel method for functional equations with boundary value problems and singularity analysis.