Exact and asymptotic solutions to a PDE that arises in time-dependent queues

Authors
Citation
C. Knessl, Exact and asymptotic solutions to a PDE that arises in time-dependent queues, ADV APPL P, 32(1), 2000, pp. 256-283
Citations number
15
Categorie Soggetti
Mathematics
Journal title
ADVANCES IN APPLIED PROBABILITY
ISSN journal
00018678 → ACNP
Volume
32
Issue
1
Year of publication
2000
Pages
256 - 283
Database
ISI
SICI code
0001-8678(200003)32:1<256:EAASTA>2.0.ZU;2-J
Abstract
We consider a diffusing particle in one dimension that is subject to a time -dependent drift or potential field. A reflecting barrier constrains the pa rticle's position to the half-line X greater than or equal to 0. Such model s arise naturally in the study of queues with time-dependent arrival rates, as well as in advection-diffusion problems of mathematical physics. We sol ve for the probability distribution of the particle as a function of space and time. Then we do a detailed study of the asymptotic properties of the s olution, for various ranges of space and time. We also relate our asymptoti c results to those obtained by probabilistic approaches, such as central li mit theorems and large deviations. We consider drifts that are either piece wise constant or Linear functions of time.