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α-stable limits for multiple channel queues in heavy traffic

Zbigniew Michna (2003)

Applicationes Mathematicae

We consider a sequence of renewal processes constructed from a sequence of random variables belonging to the domain of attraction of a stable law (1 < α < 2). We show that this sequence is not tight in the Skorokhod J₁ topology but the convergence of some functionals of it is derived. Using the structure of the sample paths of the renewal process we derive the convergence in the Skorokhod M₁ topology to an α-stable Lévy motion. This example leads to a weaker notion of weak convergence. As...

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