Light-tailed asymptotics of stationary tail probability vectors of Markov chains of M/G/1 type

DOI10.1080/15326349.2010.519661zbMATH Open1208.60098arXiv1110.4457OpenAlexW2150265895MaRDI QIDQ3068089FDOQ3068089

Authors: Tatsuaki Kimura, Kentaro Daikoku, Hiroyuki Masuyama, Yutaka Takahashi 

Publication date: 13 January 2011

Published in: Stochastic Models (Search for Journal in Brave)

Abstract: This paper studies the light-tailed asymptotics of the stationary tail probability vectors of a Markov chain of M/G/1 type. Almost all related studies have focused on the typical case, where the transition block matrices in the non-boundary levels have a dominant impact on the decay rate of the stationary tail probability vectors and their decay is aperiodic. In this paper, we study not only the typical case but also atypical cases such that the stationary tail probability vectors decay periodically and/or their decay rate is determined by the tail distribution of jump sizes from the boundary level. We derive light-tailed asymptotic formulae for the stationary tail probability vectors by locating the dominant poles of the generating function of the sequence of those vectors. Further we discuss the positivity of the dominant terms of the obtained asymptotic formulae.

Full work available at URL: https://arxiv.org/abs/1110.4457

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zbMATH Keywords

generating functiondominant polelight-tailed asymptoticsMarkov chain M/G/1 typestationary tail probability vector

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Queueing theory (aspects of probability theory) (60K25)

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Cited In (13)

• Subexponential asymptotics of the stationary distributions of \(\mathrm{GI}/\mathrm{G}/1\)-type Markov chains
• Subexponential asymptotics of the stationary distributions of M/G/1-type Markov chains
• A geometric convergence formula for the level-increment-truncation approximation of \(M/G/1\)-type Markov chains
• Light-tailed asymptotics of stationary probability vectors of Markov chains of GI/G/1 type
• Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
• A new matrix-infinite-product-form solution for upper block-Hessenberg Markov chains and its quasi-algorithmic constructibility
• On the Exponential Decay Rate of the Tail of a Discrete Probability Distribution
• A note on computing the tail decay of M/G/1-type Markov renewal processes
• Light-tailed asymptotics of \(\mathrm{GI}/\mathrm{G}/1\)-type Markov chains
• A sufficient condition for the subexponential asymptotics of GI/G/\(1\)-type Markov chains with queueing applications
• Title not available (Why is that?)
• Geometric and Subexponential Asymptotics of Markov Chains of M/G/1 Type
• Subexponential asymptotics of asymptotically block-Toeplitz and upper block-Hessenberg Markov chains

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