Stability of two-dimensional Markov processes, with an application to QBD processes with an infinite number of phases

arXiv2009.14779MaRDI QIDQ6350252FDOQ6350252

Publication date: 30 September 2020

Abstract: In this paper, we derive a simple drift condition for the stability of a class of two-dimensional Markov processes, for which one of the coordinates (also referred to as the {em phase} for convenience) has a well understood behaviour dependent on the other coordinate (also referred as {em level}). The first (phase) component's transitions may depend on the second component and are only assumed to be eventually independent. The second (level) component has partially bounded jumps and it is assumed to have a negative drift given that the first one is in its stationary distribution. The results presented in this work can be applied to processes of the QBD (quasi-birth-and-death) type on the quarter- and on the half-plane, where the phase and level are interdependent. Furthermore, they provide an off-the-shelf technique to tackle stability issues for a class of two-dimensional Markov processes. These results set the stepping stones towards closing the existing gap in the literature of deriving easily verifiable conditions/criteria for two-dimensional processes with unbounded jumps and interdependence between the two components.

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