Decomposable stationary distribution of a multidimensional SRBM

DOI10.1016/J.SPA.2014.11.014zbMATH Open1325.60132arXiv1312.1387OpenAlexW2018893776MaRDI QIDQ2018559FDOQ2018559

Authors: J. G. Dai, Masakiyo Miyazawa, J. Wu 

Publication date: 24 March 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We call a multidimensional distribution to be decomposable with respect to a partition of two sets of coordinates if the original distribution is the product of the marginal distributions associated with these two sets. We focus on the stationary distribution of a multidimensional semimartingale reflecting Brownian motion (SRBM) on a nonnegative orthant. An SRBM is uniquely determined (in distribution) by its data that consists of a covariance matrix, a drift vector, and a reflection matrix. Assume that the stationary distribution of an SRBM exists. We first characterize two marginal distributions under the decomposability assumption. We prove that they are the stationary distributions of some lower dimensional SRBMs. We also identify the data for these lower dimensional SRBMs. Thus, under the decomposability assumption, we can obtain the stationary distribution of the original SRBM by computing those of the lower dimensional ones. However, this characterization of the marginal distributions is not sufficient for the decomposability. So, we next consider necessary and sufficient conditions for the decomposability. We obtain those conditions for several classes of SRBMs. These classes include SRBMs arising from Brownian models of queueing networks that have two sets of stations with feed-forward routing between these two sets. This work is motivated by applications of SRBMs and geometric interpretations of the product form stationary distributions.

Full work available at URL: https://arxiv.org/abs/1312.1387

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zbMATH Keywords

decomposabilitystationary distributionmarginal distributionqueueing networksemimartingale reflecting Brownian motionproduct form approximation

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Generalizations of martingales (60G48)

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Cited In (1)

• A multi-dimensional SRBM: geometric views of its product form stationary distribution

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