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arXiv · 1311.3359

The morphing of fluid queues into Markov-modulated Brownian motion

Guy Latouche·Giang T. Nguyen
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Abstract

Ramaswami showed recently that standard Brownian motion arises as the limit of a family of Markov-modulated linear fluid processes. We pursue this analysis with a fluid approximation for Markov-modulated Brownian motion. Furthermore, we prove that the stationary distribution of a Markov-modulated Brownian motion reflected at zero is the limit from the well-analyzed stationary distribution of approximating linear fluid processes. Key matrices in the limiting stationary distribution are shown to be solutions of a new quadratic equation, and we describe how this equation can be efficiently solved. Our results open the way to the analysis of more complex Markov-modulated processes.

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Guy Latouche, Giang T. Nguyen. 2014-07-21. The morphing of fluid queues into Markov-modulated Brownian motion. https://arxiv.org/abs/1311.3359

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