Perturbation analysis of an M/M/1 queue in a diffusion random environment

Abstract

We study in this paper an $M/M/1$ queue whose server rate depends upon the state of an independent Ornstein-Uhlenbeck diffusion process $(X(t))$ so that its value at time $t$ is $\mu \varphi (X(t))$, where $\varphi (x)$ is some bounded function and $\mu >0$. We first establish the differential system for the conditional probability density functions of the couple $(L(t),X(t))$ in the stationary regime, where $L(t)$ is the number of customers in the system at time $t$. By assuming that $\varphi (x)$ is defined by $\varphi (x)=1-\epsilon ((x\wedge a/\epsilon )\vee (-b/\epsilon ))$ for some positive real numbers $a$, $b$ and $\epsilon$, we show that the above differential system has a unique solution under some condition on $a$ and $b$. We then show that this solution is close, in some appropriate sense, to the solution to the differential system obtained when $\varphi$ is replaced with $\Phi (x)=1-\epsilon x$ for sufficiently small $\epsilon$. We finally perform a perturbation analysis of this latter solution for small $\epsilon$. This allows us to check at the first order the validity of the so-called reduced service rate approximation, stating that everything happens as if the server rate were constant and equal to $μ(1-\eps\E(X(t)))$.