Specific bounds for a probabilistically interpretable solution of the Poisson equation for general state-space Markov chains with queueing applications
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Publication:6325440
arXiv1909.07567MaRDI QIDQ6325440FDOQ6325440
Authors: Hiroyuki Masuyama 
Publication date: 16 September 2019
Abstract: This paper considers the Poisson equation for general state-space Markov chains in continuous time. The main purpose of this paper is to present specific bounds for the solutions of the Poisson equation for general state-space Markov chains. The solutions of the Poisson equation are unique in the sense that they are expressed in terms of a certain probabilistically interpretable solution (called the {it standard solution}). Thus, we establish some specific bounds for the standard solution under the -modulated drift condition (which is a kind of Foster-Lyapunov-type condition) and some moderate conditions. To demonstrate the applicability of our results, we consider the workload processes in two queues: MAP/GI/1 queue, and M/GI/1 queue with workload capacity limit.
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