The limiting shape of a full mailbox

We study a model for email communication due to Gabrielli and Caldarelli, where someone receives and answers emails at the times of independent Poisson processes with intensities $λ_{\rm in}>λ_{\rm out}$. The receiver assigns i.i.d. priorities to incoming emails according to some atomless law and always answers the email in the mailbox with the highest priority. Since the frequency of incoming emails is higher than the frequency of answering, below a critical priority, the mailbox fills up ad infinitum. We prove a theorem about the limiting shape of the mailbox just above the critical point, linking it to the convex hull of Brownian motion. We conjecture that this limiting shape is universal in a class of similar models, including a model for the evolution of an order book due to Stigler and Luckock.

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