Heavy-traffic Limits via Brownian Embeddings (with E. Pekoz).

Summary:

This explains how to use strong approximation principles and elementary real analysis to derive diffusion approximation for queues. I have found that the students are very positive about the exposition.

Bibtex:

@Article{PekozBla06,

author = {E. Pekoz and J. Blanchet},

title = {Heavy-traffic limits via Brownian embeddings},

journal = {Probability in the Engineering and Informational Sciences},

year = {2006},

volume = {20},

pages = {595-598}

}