Conditional limit theorems for regulated fractional Brownian motion

Abstract

We consider a stationary fluid queue with fractional Brownian motion input. Conditional on the workload at time zero being greater than a large value b, we provide the limiting distribution for the amount of time that the workload process spends above level b over the busy cycle straddling the origin, as b→∞. Our results can be interpreted as showing that long delays occur in large clumps of size of order b2−1/H. The conditional limit result involves a finer scaling of the queueing process than fluid analysis, thereby departing from previous related literature.

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