Asymptotic properties of the occupation measure in a multidimensional skip-free Markov-modulated random walk

DOI10.1007/S11134-020-09673-9MaRDI QIDQ2052433zbMATH OpenOpenAlexFDO

Authors Toshihisa Ozawa

Publication date 26 November 2021

Published in Queueing Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2002.06539

zbMATH Keywords

asymptotic decay rateconvergence domainMarkov additive processMarkov-modulated random walkmoment generating functionoccupation measure

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Queueing theory (aspects of probability theory) (60K25)

Abstract: We consider a discrete-time $d$-dimensional process $$ on $mathbb{Z}^d$ with a background process $J_n$ on a countable set $S_0$, where individual processes $X_{i,n},iin1,2,\mathrm{...},d,$ are skip free. We assume that the joint process $$ is Markovian and that the transition probabilities of the $d$-dimensional process $$ vary according to the state of the background process $J_n$. This modulation is assumed to be space homogeneous. We refer to this process as a $d$-dimensional skip-free Markov modulate random walk. For $$, consider the process $$ starting from the state $$ and let $$ be the expected number of visits to the state $$ before the process leaves the nonnegative area $mathbb{Z}_{+}^{d}imes{S}_0$ for the first time. For $$, the measure $$ is called an occupation measure. Our primary aim is to obtain the asymptotic decay rate of the occupation measure as $$ go to infinity in a given direction. We also obtain the convergence domain of the matrix moment generating function of the occupation measures.

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Cited in

(4)

• Tail asymptotics in any direction of the stationary distribution in a two-dimensional discrete-time QBD process
• Computing eigenvalues of semi-infinite quasi-Toeplitz matrices
• A defect-correction algorithm for quadratic matrix equations, with applications to quasi-Toeplitz matrices
• Analysis of functional equations in M/G/1 queueing-system

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