Correlation formulas for Markovian network processes in a random environment

DOI10.1017/APR.2015.12zbMATH Open1337.60250arXiv1503.00153OpenAlexW2963634122MaRDI QIDQ2806352FDOQ2806352

Hans Daduna, Ryszard Szekli

Publication date: 17 May 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: We consider Markov processes, which describe e.g. queueing network processes, in a random environment which influences the network by determining random breakdown of nodes, and the necessity of repair thereafter. Starting from an explicit steady state distribution of product form available in the literature, we notice that this steady state distribution does not provide information about the correlation structure in time and space (over nodes). We study this correlation structure via one step correlations for the queueing-environment process. Although formulas for absolute values of these correlations are complicated, the differences of correlations of related networks are simple and have a nice structure. We therefore compare two networks in a random environment having the same invariant distribution, and focus on the time behaviour of the processes when in such a network the environment changes or the rules for traveling are perturbed. Evaluating the comparison formulas we compare spectral gaps and asymptotic variances of related processes.

Full work available at URL: https://arxiv.org/abs/1503.00153

zbMATH Keywords

asymptotic variancerandom environmentspectral gapspace-time correlationPeskun orderingMarkovian network processesproduct-form networkqueueing network processes

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) Continuous-time Markov processes on discrete state spaces (60J27) Processes in random environments (60K37)

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Cited In (2)

• Correlation bounds, mixing and \(m\)-dependence under random time-varying network distances with an application to Cox-processes
• Correlation formulas for Markovian network processes in a random environment

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