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

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.

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Year of publication:	1986
Authors:	Yamada, Keigo
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 23.1986, 1, p. 35-56
Publisher:	Elsevier
Keywords:	multi-dimensional Bessel processes heavy traffic limit theorem tandem queues

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875109