Skorokhod reflaction problem for delayed Brownian motion with application to fractional queues

Ascione, Giacomo, Leonenko, Nikolai ORCID: https://orcid.org/0000-0003-1932-4091 and Pirozzi, Enrica 2022. Skorokhod reflaction problem for delayed Brownian motion with application to fractional queues. Symmetry 14 (3) , 615. 10.3390/sym14030615

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Abstract

Several queueing systems in heavy traffic regimes are shown to admit a diffusive approximation in terms of the Reflected Brownian Motion. The latter is defined by solving the Skorokhod reflection problem on the trajectories of a standard Brownian motion. In recent years, fractional queueing systems have been introduced to model a class of queueing systems with heavy-tailed interarrival and service times. In this paper, we consider a subdiffusive approximation for such processes in the heavy traffic regime. To do this, we introduce the Delayed Reflected Brownian Motion by either solving the Skorohod reflection problem on the trajectories of the delayed Brownian motion or by composing the Reflected Brownian Motion with an inverse stable subordinator. The heavy traffic limit is achieved via the continuous mapping theorem. As a further interesting consequence, we obtain a simulation algorithm for the Delayed Reflected Brownian Motion via a continuous-time random walk approximation.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Additional Information:	This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https:// creativecommons.org/licenses/by/ 4.0/).
Publisher:	MDPI
ISSN:	2073-8994
Date of First Compliant Deposit:	17 March 2022
Date of Acceptance:	17 March 2022
Last Modified:	05 May 2023 20:13
URI:	https://orca.cardiff.ac.uk/id/eprint/148448

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