Stein's method for diffusive limit of queueing processes
Résumé
Donsker Theorem is perhaps the most famous invariance principle result for
Markov processes. It states that when properly normalized, a random walk
behaves asymptotically like a Brownian motion. This approach can be extended
to general Markov processes whose driving parameters are taken to a limit,
which can lead to insightful results in contexts like large distributed
systems or queueing networks. The purpose of this paper is to assess the rate
of convergence in these so-called diffusion approximations, in a queueing
context. To this end, we extend the functional Stein method introduced for the
Brownian approximation of Poisson processes, to two simple examples: the
single-server queue and the infinite-server queue. By doing so, we complete
the recent applications of Stein's method to queueing systems, with results
concerning the whole trajectory of the considered process, rather than its
stationary distribution.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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