Conditional limit theorems for regulated fractional Brownian motion
Awad, Hernan ; Glynn, Peter
Ann. Appl. Probab., Tome 19 (2009) no. 1, p. 2102-2136 / Harvested from Project Euclid
We consider a stationary fluid queue with fractional Brownian motion input. Conditional on the workload at time zero being greater than a large value b, we provide the limiting distribution for the amount of time that the workload process spends above level b over the busy cycle straddling the origin, as b→∞. Our results can be interpreted as showing that long delays occur in large clumps of size of order b2−1/H. The conditional limit result involves a finer scaling of the queueing process than fluid analysis, thereby departing from previous related literature.
Publié le : 2009-12-15
Classification:  Queues,  fractional Brownian motion,  conditional limit laws,  large buffer asymptotic,  60K25,  90B22,  68M20,  60F99
@article{1259158768,
     author = {Awad, Hernan and Glynn, Peter},
     title = {Conditional limit theorems for regulated fractional Brownian motion},
     journal = {Ann. Appl. Probab.},
     volume = {19},
     number = {1},
     year = {2009},
     pages = { 2102-2136},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1259158768}
}
Awad, Hernan; Glynn, Peter. Conditional limit theorems for regulated fractional Brownian motion. Ann. Appl. Probab., Tome 19 (2009) no. 1, pp.  2102-2136. http://gdmltest.u-ga.fr/item/1259158768/