Stochastic Systems

Spectral gap of the Erlang A model in the Halfin-Whitt regime

Johan S. H. van Leeuwaarden and Charles Knessl

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Abstract

We consider a hybrid diffusion process that is a combination of two Ornstein-Uhlenbeck processes with different restraining forces. This process serves as the heavy-traffic approximation to the Markovian many-server queue with abandonments in the critical Halfin-Whitt regime. We obtain an expression for the Laplace transform of the time-dependent probability distribution, from which the spectral gap is explicitly characterized. The spectral gap gives the exponential rate of convergence to equilibrium. We further give various asymptotic results for the spectral gap, in the limits of small and large abandonment effects. It turns out that convergence to equilibrium becomes extremely slow for overloaded systems with small abandonment effects.

Article information

Source
Stoch. Syst., Volume 2, Number 1 (2012), 149-207.

Dates
First available in Project Euclid: 24 February 2014

Permanent link to this document
https://projecteuclid.org/euclid.ssy/1393252043

Digital Object Identifier
doi:10.1214/10-SSY012

Mathematical Reviews number (MathSciNet)
MR3352977

Zentralblatt MATH identifier
1296.60256

Subjects
Primary: 60K25: Queueing theory [See also 68M20, 90B22] 60J60: Diffusion processes [See also 58J65] 60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) [See also 92Dxx] 34E05: Asymptotic expansions

Keywords
Erlang A model Halfin-Whitt regime queues in heavy traffic spectral gap diffusion processes asymptotic analysis

Citation

van Leeuwaarden, Johan S. H.; Knessl, Charles. Spectral gap of the Erlang A model in the Halfin-Whitt regime. Stoch. Syst. 2 (2012), no. 1, 149--207. doi:10.1214/10-SSY012. https://projecteuclid.org/euclid.ssy/1393252043


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