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 Stochastic Systems > Vol. 4 (2014) open journal systems 


Large deviation asymptotics for busy periods

Ken R. Duffy, Hamilton Institute, National University of Ireland Maynooth, Ireland
Sean P. Meyn, University of Florida


Abstract
The busy period for a queue is cast as the area swept under the random walk until it first returns to zero. Encompassing non-i.i.d. increments, the large-deviations asymptotics of the busy period \(B\) is addressed, under the assumption that the increments satisfy standard conditions, including a negative drift. The main conclusions provide insight on the probability of a large busy period, and the manner in which this occurs. The scaled probability of a large busy period has the asymptote, for any \(b>0\), \begin{align*} &\lim_{n\to\infty} \frac{1}{\sqrt{n}} \log P(B\geq bn) = -K\sqrt{b},\\[3pt] \hbox{where}\quad K = 2& \sqrt{-\int_0^{\lambda^*} \Lambda(\theta)\, d\theta}, \quad \hbox{with }\lambda^*=\sup\{\theta:\Lambda(\theta)\leq0\}, \end{align*} and with \(\Lambda\) denoting the scaled cumulant generating function of the increments process. The most likely path to a large swept area is found to be a simple rescaling of the path on \([0,1]\) given by \[ \psi^*(t) = -\Lambda(\lambda^*(1-t))/\lambda^*. \] In contrast to the piecewise linear most likely path leading the random walk to hit a high level, this is strictly concave in general. While these two most likely paths have distinctly different forms, their derivatives coincide at the start of their trajectories, and at their first return to zero.
These results partially answer an open problem of Kulick and Palmowski [18] regarding the tail of the work done during a busy period at a single server queue. The paper concludes with applications of these results to the estimation of the busy period statistics \((\lambda^*, K)\) based on observations of the increments, offering the possibility of estimating the likelihood of a large busy period in advance of observing one.

AMS 2000 subject classifications: Primary 60K25; secondary 60F10

Keywords: Integrated random walks, busy periods, large deviations, sample paths

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Duffy, Ken R., Meyn, Sean P., Large deviation asymptotics for busy periods, Stochastic Systems, 4, (2014), 300-319 (electronic). DOI: 10.1214/13-SSY098.

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