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2012 Spectral gap of the Erlang A model in the Halfin-Whitt regime
Johan S. H. van Leeuwaarden, Charles Knessl
Stoch. Syst. 2(1): 149-207 (2012). DOI: 10.1214/10-SSY012

Abstract

We consider a hybrid diffusion process that is a combination of two Ornstein-Uhlenbeck processes with different restraining forces. This process serves as the heavy-traffic approximation to the Markovian many-server queue with abandonments in the critical Halfin-Whitt regime. We obtain an expression for the Laplace transform of the time-dependent probability distribution, from which the spectral gap is explicitly characterized. The spectral gap gives the exponential rate of convergence to equilibrium. We further give various asymptotic results for the spectral gap, in the limits of small and large abandonment effects. It turns out that convergence to equilibrium becomes extremely slow for overloaded systems with small abandonment effects.

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Johan S. H. van Leeuwaarden. Charles Knessl. "Spectral gap of the Erlang A model in the Halfin-Whitt regime." Stoch. Syst. 2 (1) 149 - 207, 2012. https://doi.org/10.1214/10-SSY012

Information

Published: 2012
First available in Project Euclid: 24 February 2014

zbMATH: 1296.60256
MathSciNet: MR3352977
Digital Object Identifier: 10.1214/10-SSY012

Subjects:
Primary: 34E05, 60J60, 60J70, 60K25

Rights: Copyright © 2012 INFORMS Applied Probability Society

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Vol.2 • No. 1 • 2012
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