The invariant measure of random walks in the quarter-plane: representation in geometric terms

DOI10.1017/S026996481400031XMaRDI QIDQ5358037zbMATH OpenOpenAlexFDO

Authors Yanting Chen, Richard J. Boucherie, Jasper Goseling

Publication date 19 September 2017

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.5335

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Random measures (60G57)

Abstract: We consider the invariant measure of homogeneous random walks in the quarter-plane. In particular, we consider measures that can be expressed as a finite linear combination of geometric terms and present conditions on the structure of these linear combinations such that the resulting measure may yield an invariant measure of a random walk. We demonstrate that each geometric term must individually satisfy the balance equations in the interior of the state space and further show that the geometric terms in an invariant measure must have a pairwise-coupled structure. Finally, we show that at least one of the coefficients in the linear combination must be negative.

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Cited in

(9)

• Khintchine-Pollaczek formula for random walks whose steps have one geometric tail
• Necessary conditions for the compensation approach for a random walk in the quarter-plane
• Integral expression for the stationary distribution of reflected Brownian motion in a wedge
• Invariant measures and error bounds for random walks in the quarter-plane based on sums of geometric terms
• An invariance property of generalized Pearson random walks in bounded geometries
• Matrix geometric approach for random walks: stability condition and equilibrium distribution
• A finite compensation procedure for a class of two-dimensional random walks
• On the stationary distribution of reflected Brownian motion in a wedge: differential properties
• Boundary contacts for reflected random walks in the quarter plane

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