Stochastic decompositions in bivariate risk and queueing models with mutual assistance

DOI10.1080/15326349.2020.1760888MaRDI QIDQ4994073zbMATH OpenOpenAlexFDO

Authors Jevgenijs Ivanovs

Publication date 14 June 2021

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1911.06867

zbMATH Keywords

basic adjoint relationshipcoupled processorfluid networkkernel equationreflection in quadrantstochastic decompositiontwo-way interaction

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25)

Abstract: We consider two bivariate models with two-way interactions in context of risk and queueing theory. The two entities interact with each other by providing assistance but otherwise evolve independently. We focus on certain random quantities underlying the joint survival probability and the joint stationary workload, and show that these admit stochastic decomposition. Each one can be seen as an independent sum of respective quantities for the two models with one-way interaction. Additionally, we discuss a rather general method of establishing decompositions from a given kernel equation by identifying two independent random variables from their difference, which may be useful for other models. Finally, we point out that the same decomposition is true for uncorrelated Brownian motion reflected to stay in an orthant, and it concerns the face measures appearing in the basic adjoint relationship.

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