Mathematics – Probability
Scientific paper
2008-09-24
Annals of Applied Probability 2009, Vol. 19, No. 6, 2137-2175
Mathematics
Probability
Published in at http://dx.doi.org/10.1214/09-AAP606 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Inst
Scientific paper
10.1214/09-AAP606
We establish heavy-traffic stochastic-process limits for waiting times in many-server queues with customer abandonment. If the system is asymptotically critically loaded, as in the quality-and-efficiency-driven (QED) regime, then a bounding argument shows that the abandonment does not affect waiting-time processes. If instead the system is overloaded, as in the efficiency-driven (ED) regime, following Mandelbaum et al. [Proceedings of the Thirty-Seventh Annual Allerton Conference on Communication, Control and Computing (1999) 1095--1104], we treat customer abandonment by studying the limiting behavior of the queueing models with arrivals turned off at some time $t$. Then, the waiting time of an infinitely patient customer arriving at time $t$ is the additional time it takes for the queue to empty. To prove stochastic-process limits for virtual waiting times, we establish a two-parameter version of Puhalskii's invariance principle for first passage times. That, in turn, involves proving that two-parameter versions of the composition and inverse mappings appropriately preserve convergence.
Talreja Rishi
Whitt Ward
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