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

作者：Anderson D; Blom J; Mandjes M; Thorsdottir H^*; de Turck K

来源：Methodology and Computing in Applied Probability, 2016, 18(1): 153-168.

DOI：10.1007/s11009-014-9405-8

• Ornstein-Uhlenbeck processes
• Markov modulation
• Central limit theorems
• Martingale methods

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 lambda (i) when an external Markov process J(a <...) is in state i. It is assumed that molecules decay after an exponential time with mean mu (-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 (alpha) , for some alpha > 0, whereas the arrival rates become N lambda (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 alpha > 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 , whereas (ii) for alpha a parts per thousand currency sign1 the background process is relatively slow, and the scaling in the F-CLT is N (1-alpha/2). In the latter regime, the parameters of the limiting Ornstein-Uhlenbeck process contain the deviation matrix associated with the background process J(.).

• 出版日期2016-3