Matrix geometric approach for random walks: stability condition and equilibrium distribution

DOI10.1080/15326349.2017.1359096MaRDI QIDQ4603849zbMATH OpenOpenAlexFDO

Authors Stella Kapodistria, Zbigniew Palmowski

Publication date 19 February 2018

Published in Stochastic Models (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/1603.04842

zbMATH Keywords

boundary value problem methodcompensation approachequilibrium distributionmatrix geometric approachrandom walksspectrumstability condition

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22)

Abstract: In this paper, we analyse a sub-class of two-dimensional homogeneous nearest neighbour (simple) random walk restricted on the lattice using the matrix geometric approach. In particular, we first present an alternative approach for the calculation of the stability condition, extending the result of Neuts drift conditions [30] and connecting it with the result of Fayolle et al. which is based on Lyapunov functions [13]. Furthermore, we consider the sub-class of random walks with equilibrium distributions given as series of product-forms and, for this class of random walks, we calculate the eigenvalues and the corresponding eigenvectors of the infinite matrix $mathbfR$ appearing in the matrix geometric approach. This result is obtained by connecting and extending three existing approaches available for such an analysis: the matrix geometric approach, the compensation approach and the boundary value problem method. In this paper, we also present the spectral properties of the infinite matrix $mathbfR$.

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Cited in

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