Functional central limit theorems for a large network in which customers join the shortest of several queues

Details Functional central limit theorems for a large network in which customers join the shortest of several queues Functional central limit theorems for a large network in which customers join the shortest of several queues

2004-03-31

arxiv.org/abs/math/0403538v1

Mathematics

Probability

This preprint is a combined version of the two preprints math.PR/0312334 and math.PR/0312335. It is recommended to read this c

Scientific paper

We consider N single server infinite buffer queues with service rate \beta. Customers arrive at rate N\alpha, choose L queues uniformly, and join the shortest. We study the processes R^N for large N, where R^N_t(k) is the fraction of queues of length at least k at time t. Laws of large numbers (LLNs) are known. We consider certain Hilbert spaces with the weak topology. First, we prove a functional central limit theorem (CLT) under the a priori assumption that the initial data R^N_0 satisfy the corresponding CLT. We use a compactness-uniqueness method, and the limit is characterized as an Ornstein-Uhlenbeck (OU) process. Then, we study the R^N in equilibrium under the stability condition \alpha < \beta, and prove a functional CLT with limit the OU process in equilibrium. We use ergodicity and justify the inversion of limits for large times and for large sizes N by a compactness-uniqueness method. We deduce a posteriori the CLT for R^N_0 under the invariant laws, an interesting result in its own right. The main tool for proving tightness of the implicitly defined invariant laws in the CLT scaling and ergodicity of the limit OU process is a global exponential stability result for the nonlinear dynamical system obtained in the functional LLN limit.

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