A positive recurrent reflecting Brownian motion with divergent fluid path

DOI10.1214/10-AAP713zbMATH Open1225.60137arXiv1010.1751MaRDI QIDQ549863FDOQ549863

Maury Bramson

Publication date: 19 July 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: Semimartingale reflecting Brownian motions (SRBMs) are diffusion processes with state space the d-dimensional nonnegative orthant, in the interior of which the processes evolve according to a Brownian motion, and that reflect against the boundary in a specified manner. The data for such a process are a drift vector { heta}, a nonsingular d imes d covariance matrix {Sigma}, and a d imes d reflection matrix R. A standard problem is to determine under what conditions the process is positive recurrent. Necessary and sufficient conditions for positive recurrence are easy to formulate for d = 2, but not for d > 2. Associated with the pair ({ heta}, R) are fluid paths, which are solutions of deterministic equations corresponding to the random equations of the SRBM. A standard result of Dupuis and Williams [6] states that when every fluid path associated with the SRBM is attracted to the origin, the SRBM is positive recurrent. Employing this result, El Kharroubi et al. [7, 8] gave sufficient conditions on ({ heta},{Sigma},R) for positive recurrence for d = 3; Bramson et al. [2] showed that these conditions are, in fact, necessary. Relatively little is known about the recurrence behavior of SRBMs for d > 3. This pertains, in particular, to necessary conditions for positive recurrence. Here, we provide a family of examples, in d = 6, with { heta} = (-1, -1, . >. ., -1)T, {Sigma} = I and appropriate R, that are positive recurrent, but for which a linear fluid path diverges to infinity. These examples show in particular that, for d >= 6, the converse of the Dupuis-Williams result does not hold.

Full work available at URL: https://arxiv.org/abs/1010.1751

zbMATH Keywords

queueing networksreflecting Brownian motionfluid modelheavy traffic limits

Mathematics Subject Classification ID

Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Brownian motion (60J65) Stochastic network models in operations research (90B15)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Brownian models of multiclass queueing networks: Current status and open problems
• A capture problem in Brownian motion and eigenvalues of spherical domains
• Brownian models of open queueing networks with homogeneous customer populations^∗
• Exit times from cones in \({\mathbb{R}}^ n\) of Brownian motion
• Stability of queueing networks
• Lyapunov functions for semimartingale reflecting Brownian motions
• Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant
• On the stability of the linear Skorokhod problem in an orthant
• Sur la récurrence positivedu mouvement brownien réflechidans l'orthant positif de
• Positive recurrence of reflecting Brownian motion in three dimensions
• Reflecting Brownian motion in three dimensions: a new proof of sufficient conditions for positive recurrence
• AN OVERVIEW OF SOME STOCHASTIC STABILITY METHODS(<Special Issue>Network Design, Control and Optimization)
• Capture time of Brownian pursuits
• A Gaussian correlation inequality and its applications to small ball probabilities

Cited In (4)

• Positive recurrence for reflecting Brownian motion in higher dimensions
• The stability of the deterministic Skorokhod problem is undecidable
• Exponential ergodicity and convergence for generalized reflected Brownian motion
• Convergence rates for rank-based models with applications to portfolio theory

This page was built for publication: A positive recurrent reflecting Brownian motion with divergent fluid path

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q549863)