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1 results

  • An asymptotically exact decomposition of coupled Brownian systems

  • Part of
  • Kerry W. Fendick
  • Journal:
    Journal of Applied Probability / Volume 30 / Issue 4 / December 1993
    Published online by Cambridge University Press:
    14 July 2016, pp. 819-834
    Print publication:
    December 1993

  • Brownian flow systems, i.e. multidimensional Brownian motion with regulating barriers, can model queueing and inventory systems in which the behavior of different queues is correlated because of shared input processes. The behavior of such systems is typically difficult to describe exactly. We show how Brownian models of such systems, conditioned on one queue length exceeding a large value, decompose asymptotically into smaller subsystems. This conditioning induces a change in drift of the system's net input process and its components. The results here are analogous to results for jump-Markov queues recently obtained by Shwartz and Weiss. The Brownian setting leads to a simple description of the component processes' asymptotic behaviour, as well as to explicit distributional results.