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Timescaling results for Markov modulated infinite-server systems and OU processes

Presented by: 
M Mandjes Universiteit van Amsterdam
Date: 
Friday 16th August 2013 - 10:00 to 10:45
Venue: 
INI Seminar Room 1
Abstract: 
Co-authors: J. Blom (CWI), K. de Turck (Ghent), O. Kella (Jerusalem), D. Anderson (Wisconsin), H. Thorsdottir (CWI), G. Huang (Amsterdam), P. Spreij (Amsterdam)

In this talk I'll consider an infinite-server queue whose input is modulated by a Markovian background process, with a focus on the analysis of the number of customers in the system, both in the central-limit and the large deviations regime. In the scaling that we study, the background process is sped up by a factor N^f, while the arrival rate are scaled by N. Interestingly, in the CLT regime crucially different results come out for f > 1 and for f

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Presentation Material: 
University of Cambridge Research Councils UK
    Clay Mathematics Institute The Leverhulme Trust London Mathematical Society Microsoft Research NM Rothschild and Sons