Diffusion approximation for first overflow time in G I / G / m system with finite capacity

Bong Dae Choi, Yong Wan Lee and Yang Woo Shin

International Journal of Stochastic Analysis, 1995, vol. 8, 1-18

Abstract:

We present a diffusion approximation of the first overflow time in the G I / G / m system with finite capacity. We derive the Laplace Stieltjes transform of the first passage time of diffusion process which approximates the system size in the G I / G / m system with finite capacity. We use the first passage time of diffusion process as the first overflow time in the G I / G / m system with finite capacity. To check on accuracy of this approximation, the analytical results for the mean of the first overflow time in the G I / G / m system with finite capacity is numerically compared with the diffusion approximation results. Numerical results show that the diffusion approximation is a good approximation for heavy traffic systems.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:816350

DOI: 10.1155/S1048953395000025

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