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Poisson's equation for the recurrent M/G/1 queue

Part of:Stochastic processesMarkov processesLimit theorems

Published online by Cambridge University Press:  01 July 2016

Peter W. Glynn
Peter W. Glynn*
Affiliation:
Stanford University
*
* Postal address: Department of Operations Research, Stanford University, Stanford, CA 94305–4022, USA.
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Abstract

This paper shows how to calculate solutions to Poisson's equation for the waiting time sequence of the recurrent M/G/l queue. The solutions are used to construct martingales that permit us to study additive functionals associated with the waiting time sequence. These martingales provide asymptotic expressions, for the mean of additive functionals, that reflect dependence on the initial state of the process. In addition, we show how to explicitly calculate the scaling constants that appear in the central limit theorems for additive functionals of the waiting time sequence.

Keywords

ADDITIVE FUNCTIONALMARTINGALESCENTRAL LIMIT THEOREMS

MSC classification

Primary:60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
Secondary:60G42: Martingales with discrete parameter60F05: Central limit and other weak theorems

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 26 , Issue 4 , December 1994, pp. 1044 - 1062
Copyright
Copyright © Applied Probability Trust 1994 

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Footnotes

Research supported by the U.S. Army Research Office under Contract DAAL-03-88-K-0063, and a grant of the Natural Sciences of Engineering Research Council of Canada.

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