Diffusion approximations. (English) Zbl 0703.60072
Stochastic models, Handb. Oper. Res. Manage. Sci. 2, 145-198 (1990).
[For the entire collection see Zbl 0698.00032.]
This paper surveys both the theory of diffusion approximations (including weak convergence on function spaces) and its application to stochastic models in operations research, particularly queueing theory. Special emphasis is given to heavy traffic limit theory for networks of queues. Gaussian approximations for infinite-server systems are also described.
This paper surveys both the theory of diffusion approximations (including weak convergence on function spaces) and its application to stochastic models in operations research, particularly queueing theory. Special emphasis is given to heavy traffic limit theory for networks of queues. Gaussian approximations for infinite-server systems are also described.
Reviewer: P.W.Glynn
MSC:
60J60 | Diffusion processes |
60K25 | Queueing theory (aspects of probability theory) |
60K20 | Applications of Markov renewal processes (reliability, queueing networks, etc.) |