Details

Autor(en) / Beteiligte

• Anderson, D.
• Blom, J.
• Mandjes, M.
• Thorsdottir, H.
• de Turck, K.

Titel

A Functional Central Limit Theorem for a Markov-Modulated Infinite-Server Queue

Ist Teil von

• Methodology and computing in applied probability, 2016-03, Vol.18 (1), p.153-168

Ort / Verlag

New York: Springer US

Erscheinungsjahr

2016

Link zum Volltext

Quelle

Business Source Ultimate

Beschreibungen/Notizen

• We consider a model in which the production of new molecules in a chemical reaction network occurs in a seemingly stochastic fashion, and can be modeled as a Poisson process with a varying arrival rate: the rate is λ i when an external Markov process J (⋅) is in state i . It is assumed that molecules decay after an exponential time with mean μ −1 . The goal of this work is to analyze the distributional properties of the number of molecules in the system, under a specific time-scaling. In this scaling, the background process is sped up by a factor N α , for some α >0, whereas the arrival rates become N λ i , for N large. The main result of this paper is a functional central limit theorem ( F-CLT ) for the number of molecules, in that, after centering and scaling, it converges to an Ornstein-Uhlenbeck process. An interesting dichotomy is observed: (i) if α > 1 the background process jumps faster than the arrival process, and consequently the arrival process behaves essentially as a (homogeneous) Poisson process, so that the scaling in the F-CLT is the usual N , whereas (ii) for α ≤1 the background process is relatively slow, and the scaling in the F-CLT is N 1− α /2 . In the latter regime, the parameters of the limiting Ornstein-Uhlenbeck process contain the deviation matrix associated with the background process J (⋅).