Stationary analysis of certain Markov-modulated reflected random walks in the quarter plane

DOI10.1007/S10479-020-03676-8zbMATH Open1503.60137arXiv2001.08959OpenAlexW3034383679MaRDI QIDQ2115768FDOQ2115768

Ioannis Dimitriou

Publication date: 21 March 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Abstract: In this work, we focus on the stationary analysis of a specific class of continuous time Markov-modulated reflected random walks in the quarter plane with applications in the modelling of two-node Markov-modulated queueing networks with coupled queues. The transition rates of the two-dimensional process depend on the state of a finite state Markovian background process. Such a modulation is space homogeneous in the set of inner states of the two-dimensional lattice but may be different in the set of states at its boundaries. To obtain the stationary distribution, we apply the power series approximation method, and the theory of Riemann boundary value problems. We also obtain explicit expressions for the first moments of the stationary distribution under some symmetry assumptions. An application in the modelling of a priority retrial system with coupled orbit queues is also presented. Using a queueing network example, we numerically validated the theoretical findings.

Full work available at URL: https://arxiv.org/abs/2001.08959

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zbMATH Keywords

boundary value problemsquasi-birth-death processespower series approximationstationary analysisMarkov-modulated reflected random walksnetworks with coupled queues

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)

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Cited In (4)

• Stability of queueing-inventory systems with customers of different priorities
• Explicit stationary distribution of the \((L,1)\)-reflecting random walk on the half line
• Analysis of Models Reducible to a Class of Diffusion Processes in the Positive Quarter Plane
• Equilibrium joining strategies in the retrial queue with two classes of customers and delayed vacations

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