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

DOI10.1007/S11134-014-9411-0zbMATH Open1323.60111arXiv1312.1758OpenAlexW3104621818MaRDI QIDQ475141FDOQ475141

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

Publication date: 25 November 2014

Published in: Queueing Systems (Search for Journal in Brave)

Abstract: We present a geometric interpretation of a product form stationary distribution for a $d$-dimensional semimartingale reflecting Brownian motion (SRBM) that lives in the nonnegative orthant. The $d$-dimensional SRBM data can be equivalently specified by $d+1$ geometric objects: an ellipse and $d$ rays. Using these geometric objects, we establish necessary and sufficient conditions for characterizing product form stationary distribution. The key idea in the characterization is that we decompose the $d$-dimensional problem to $frac12d(d-1)$ two-dimensional SRBMs, each of which is determined by an ellipse and two rays. This characterization contrasts with the algebraic condition of [14]. A $d$-station tandem queue example is presented to illustrate how the product form can be obtained using our characterization. Drawing the two-dimensional results in [1,7], we discuss potential optimal paths for a variational problem associated with the three-station tandem queue. Except Appendix D, the rest of this paper is almost identical to the QUESTA paper with the same title.

Full work available at URL: https://arxiv.org/abs/1312.1758

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zbMATH Keywords

variational problemdiffusion approximationsqueueing networksproduct form stationary distributionsemimartingale reflecting Brownian motionskew symmetry condition

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Generalizations of martingales (60G48) Stochastic network models in operations research (90B15)

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Cited In (4)

• Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions
• Invariant measures and error bounds for random walks in the quarter-plane based on sums of geometric terms
• A multi-dimensional SRBM: geometric views of its product form stationary distribution
• Decomposable stationary distribution of a multidimensional SRBM

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