Simulated annealing with a potential function with discontinuous gradient on \(\mathbb R^d\) (Q1609667)

Consider the Lindley process \(L_t= S_t - \min_{0\leq s\leq t} S_s\) of a continuous-time Markov chain \(S_t\) on the integers, with jumps only to neighboring states (that is the birth-death process on the integers). Let \(\tau_N\) be the level hitting time of level \(N\in {\mathbb N}\). The joint distribution of \(S_{\tau_N}\) and \(\tau_N\) is derived, expressed by a recursion procedure. In the special case of the queue length process of an M/M/1 queue, this leads to results on the asymptotic behavior of \(\tau_N\) explicitly.