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Serve the shortest queue and Walsh Brownian motion. (English) Zbl 1409.60037
Summary: We study a single server Markovian queueing model with \(N\) customer classes in which priority is given to the shortest queue. Under critical load condition, we establish in the form of a Walsh Brownian motion (WBM) living in the union of the \(N\) nonnegative coordinate axes in \(\mathbb{R}^N\) and a linear transformation thereof. This reveals the following asymptotic behavior. Each time that queues begin to build starting from an empty system, one of them becomes dominant in the sense that it contains nearly all the workload in the system, and it remains so until the system becomes (nearly) empty again. The radial part of the WBM, given as a reflected Brownian motion (RBM) on the half-line, captures the total workload asymptotics, whereas its angular distribution expresses how likely it is for each class to become dominant on excursions.
As a heavy traffic result, it is nonstandard in three ways: (i) In the terminology of J. M. Harrison [in: Stochastic networks. Proceedings of a workshop of the 1993-94 IMA program on emerging applications of probability. New York, NY: Springer-Verlag. 1–20 (1995; Zbl 0838.90045)], it is unconventional, in that the limit is not RBM. (ii) It does not constitute an invariance principle, in that the limit law (specifically, the angular distribution) is not determined solely by the first two moments of the data, and is sensitive even to tie breaking rules. (iii) The proof method does not fully characterize the limit law (specifically, it gives no information on the angular distribution).

60F05 Central limit and other weak theorems
93E03 Stochastic systems in control theory (general)
60K25 Queueing theory (aspects of probability theory)
60J65 Brownian motion
60J70 Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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