A reflected fBm limit for fluid models with ON/OFF sources under heavy traffic
We consider a family of non-deterministic fluid models that can be approximated under heavy traffic conditions by a multidimensional reflected fractional Brownian motion (rfBm). Specifically, we prove a heavy traffic limit theorem for multi-station fluid models with feedback and non-deterministic arrival process generated by a large enough number of heavy tailed ON/OFF sources, say N. Scaling in time by a factor r and in state space conveniently, and letting N and r approach infinity (in this order) we prove that the scaled immediate workload process converges in some sense to a rfBm.
Year of publication: |
2007
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Authors: | Delgado, Rosario |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 117.2007, 2, p. 188-201
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Publisher: |
Elsevier |
Keywords: | Reflected fractional Brownian motion Fluid model Queueing network Workload process On-off sources Heavy traffic |
Saved in:
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