DIFFUSION APPROXIMATIONS IN APPLIED PROBABILITY.
Abstract
This is an expository paper which discusses numerous methods for obtaining diffusion approximations for models in applied probability. For many such models it is difficult to obtain explicit expressions for the distributions of random quantities of interest. In some problems, however, approximations can be obtained from limit theorems as a particular physical parameter approaches a limit. Examples of such physical parameters are the traffic intensity and the number of servers in queueing models, the number of balls in various urn models, and the probability of breakdown in a quality control model. In general, the objective is to obtain limit theorems (in the sense of weak convergence of measures) for a sequence of stochastic processes. Often the limit process is a well-known diffusion process. This diffusion process then yields approximations in the same manner as does the central limit theorem. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jul 01, 1967
- Accession Number
- AD0659486
Entities
People
- Donald Iglehart
Organizations
- Cornell University College of Engineering