Heavy Traffic Limits Via Brownian Embeddings

  • Authors:
  • Erol A. Peköz;Jose Blanchet

  • Affiliations:
  • Boston University School of Management, Boston, MA 02215, E-mail: pekoz@bu.edu;Harvard University, Statistics Department, Cambridge, MA 02138, E-mail: blanchet@stat.harvard.edu

  • Venue:
  • Probability in the Engineering and Informational Sciences
  • Year:
  • 2006

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Abstract

For the GI/GI/1 queue we show that the scaled queue size converges to reflected Brownian motion in a critical queue and converges to reflected Brownian motion with drift for a sequence of subcritical queuing models that approach a critical model. Instead of invoking the topological argument of the usual continuous-mapping approach, we give a probabilistic argument using Skorokhod embeddings in Brownian motion.