Slowing time: Markov-modulated Brownian motions with a sticky boundary

DOI10.1080/15326349.2017.1284000zbMATH Open1370.60138arXiv1508.00922OpenAlexW2963875034MaRDI QIDQ4976519FDOQ4976519

Authors: Guy Latouche, Giang T. Nguyen 

Publication date: 31 July 2017

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

Abstract: We analyze the stationary distribution of regulated Markov modulated Brownian motions (MMBM) modified so that their evolution is slowed down when the process reaches level zero --- level zero is said to be {em sticky}. To determine the stationary distribution, we extend to MMBMs a construction of Brownian motion with sticky boundary, and we follow a Markov-regenerative approach similar to the one developed in past years in the context of quasi-birth-and-death processes and fluid queues. We also rely on recent work showing that Markov-modulated Brownian motions may be analyzed as limits of a parametrized family of fluid queues. We use our results to revisit the stationary distribution of the well-known regulated MMBM.

Full work available at URL: https://arxiv.org/abs/1508.00922

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zbMATH Keywords

regenerative processesfluid queuesMarkov-modulated Brownian motionsticky boundary

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)

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Cited In (8)

• Markov-modulated Brownian motions perturbed by catastrophes
• Strong convergence to two-dimensional alternating Brownian motion processes
• Networks of interacting stochastic fluid models with infinite and finite buffers
• A quadratically convergent algorithm for first passage time distributions in the Markov-modulated Brownian motion
• Multidimensional sticky Brownian motions as limits of exclusion processes
• An explicit solution to the Skorokhod embedding problem for double exponential increments
• The morphing of fluid queues into Markov-modulated Brownian motion
• Rate of strong convergence to Markov-modulated Brownian motion

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