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On the Transient Behavior of Ehrenfest and Engset Processes

Published online by Cambridge University Press:  04 January 2016

Mathieu Feuillet*
Affiliation:
INRIA
Philippe Robert*
Affiliation:
INRIA
*
Postal address: INRIA Paris-Rocquencourt, Domaine de Voluceau, 78153 Le Chesnay, France.
Postal address: INRIA Paris-Rocquencourt, Domaine de Voluceau, 78153 Le Chesnay, France.
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Abstract

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Two classical stochastic processes are considered, the Ehrenfest process, introduced in 1907 in the kinetic theory of gases to describe the heat exchange between two bodies, and the Engset process, one of the early (1918) stochastic models of communication networks. In this paper we investigate the asymptotic behavior of the distributions of hitting times of these two processes when the number of particles/sources goes to infinity. Results concerning the hitting times of boundaries in particular are obtained. We rely on martingale methods; a key ingredient is an important family of simple nonnegative martingales, an analogue, for the Ehrenfest process, of the exponential martingales used in the study of random walks or of Brownian motion.

MSC classification

Type
General Applied Probability
Copyright
© Applied Probability Trust 

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