The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 29, Number 2 (2019), 1070-1126.
Ergodicity of a Lévy-driven SDE arising from multiclass many-server queues
We study the ergodic properties of a class of multidimensional piecewise Ornstein–Uhlenbeck processes with jumps, which contains the limit of the queueing processes arising in multiclass many-server queues with heavy-tailed arrivals and/or asymptotically negligible service interruptions in the Halfin–Whitt regime as special cases. In these queueing models, the Itô equations have a piecewise linear drift, and are driven by either (1) a Brownian motion and a pure-jump Lévy process, or (2) an anisotropic Lévy process with independent one-dimensional symmetric $\alpha $-stable components or (3) an anisotropic Lévy process as in (2) and a pure-jump Lévy process. We also study the class of models driven by a subordinate Brownian motion, which contains an isotropic (or rotationally invariant) $\alpha $-stable Lévy process as a special case. We identify conditions on the parameters in the drift, the Lévy measure and/or covariance function which result in subexponential and/or exponential ergodicity. We show that these assumptions are sharp, and we identify some key necessary conditions for the process to be ergodic. In addition, we show that for the queueing models described above with no abandonment, the rate of convergence is polynomial, and we provide a sharp quantitative characterization of the rate via matching upper and lower bounds.
Ann. Appl. Probab., Volume 29, Number 2 (2019), 1070-1126.
Received: July 2017
Revised: May 2018
First available in Project Euclid: 24 January 2019
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60J75: Jump processes 60H10: Stochastic ordinary differential equations [See also 34F05]
Secondary: 60G17: Sample path properties 60J25: Continuous-time Markov processes on general state spaces 60K25: Queueing theory [See also 68M20, 90B22]
Multidimensional piecewise Ornstein–Uhlenbeck processes with jumps pure-jump Lévy process (an)isotropic Lévy process (sub)exponential ergodicity multiclass many-server queues Halfin–Whitt regime heavy-tailed arrivals service interruptions
Arapostathis, Ari; Pang, Guodong; Sandrić, Nikola. Ergodicity of a Lévy-driven SDE arising from multiclass many-server queues. Ann. Appl. Probab. 29 (2019), no. 2, 1070--1126. doi:10.1214/18-AAP1430. https://projecteuclid.org/euclid.aoap/1548298937