Proofs of the martingale FCLT

By Ward Whitt. 2007

144 citations recorded by the source corpus.

This is an expository review paper elaborating on the proof of the martingale functional central limit theorem (FCLT). This paper also reviews tightness and stochastic boundedness, highlighting one-dimensional criteria for tightness used in the proof of the martingale FCLT. This paper supplements the expository review paper Pang, Talreja and Whitt (2007) illustrating the ``martingale method'' for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximations.

Subfields: Management Information Systems, Management Science and Operations Research, Transportation

View Paper: https://www.semanticscholar.org/paper/3ca4b8cf4bc9b800181bdb6b5fcf7b411ca0b2a6

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In Management Information Systems

1. J. Dai
2. Tolga Tezcan
3. Shuangchi He

In Management Science and Operations Research

1. J. Dai
2. Tolga Tezcan
3. Shuangchi He

In Transportation

1. J. Dai
2. Tolga Tezcan
3. Shuangchi He

Citations in the corpus

• Many-server diffusion limits for G/Ph/n+GI queues (2010, methodology): “Variants of these maps have been employed in the literature [see, e.g., Mandelbaum, Massey and Reiman (1998), Reed (2009), Tezcan and Dai (2010), Dai and Tezcan (2008) and Pang, Talreja and Whitt (2007)].”