On the Invariance Principle for the First Passage Time

  • A. Puhalskii

    Institute for Problems of Information Transmission, Ermolovoy ul., 19, 101447 Moscow, Russia. Currently visiting professor at Mathematics Department, University of Colorado, PO Box 173364-3364, Campus Box 170, Denver, Colorado 80217">currently visiting professor at Mathematics Department, University of Colorado, PO Box 173364-3364, Campus Box 170, Denver, Colorado 80217

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Published Online:https://doi.org/10.1287/moor.19.4.946

New results are obtained on the connection between the invariance principle for the first passage time process and that for the underlying processes. The main contribution is that the ‘passing’ process may have general drift. An example of the application is given which shows that this is of use in deriving limit theorems for delays from limit theorems for queue lengths when studying queueing systems with queue-dependent arrival or (and) service completion rates.

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