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

Keigo Yamada

Stochastic Processes and their Applications, 1986, vol. 23, issue 1, 35-56

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.

Keywords: multi-dimensional; Bessel; processes; heavy; traffic; limit; theorem; tandem; queues (search for similar items in EconPapers)
Date: 1986
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