This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 133
Type: Contributed
Date/Time: Monday, August 2, 2010 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #308462
Title: Multiscale Diffusion Approximations for Open Queueing Networks in Heavy Traffic
Author(s): Xin Liu*+
Companies: The University of North Carolina at Chapel Hill
Address: 100 Rock Haven Rd, L207, Carrboro, NC, 27510,
Keywords: Diffusion approximations ; Queueing networks in random environment ; Heavy traffic ; Multiscale analysis ; Reflected Markov modulated diffusions ; Constrained martingale problems

Open queueing networks with time varying arrival and service rates and routing structure are studied. Time variations are governed, in addition to the state of the system, by two independent Markov processes X and Y. Transition times of X are significantly smaller than typical interarrival and service times whereas the reverse is true for the Markov process Y. By a suitable martingale problem, diffusion approximations for such multiscale systems are established under a suitable heavy traffic condition. It is shown that properly normalized queue length processes converge weakly to a reflected diffusion with drift and diffusion coefficients that, in addition to depending on the state process, are functions of the invariant distributions of X. Additionally, the coefficients are modulated by a finite state Markov process which is independent of the driving Brownian motion.

The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2010 program

2010 JSM Online Program Home

For information, contact or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.