Positive recurrence of reflecting Brownian motion in three dimensions

DOI10.1214/09-AAP631MaRDI QIDQ968783zbMATH OpenOpenAlexWikidataFDO

Authors Maury Bramson, J. G. Dai, J. Michael Harrison

Publication date 6 May 2010

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

Full work available at URL https://arxiv.org/abs/1009.5746

zbMATH Keywords

diffusion approximationtransienceheavy trafficqueueing networksreflecting Brownian motionfluid modelSkorohod problem

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Abstract: Consider a semimartingale reflecting Brownian motion (SRBM) $Z$ whose state space is the $d$-dimensional nonnegative orthant. The data for such a process are a drift vector $heta$, a nonsingular $dimesd$ covariance matrix $Sigma$, and a $dimesd$ reflection matrix $R$ that specifies the boundary behavior of $Z$. We say that $Z$ is positive recurrent, or stable, if the expected time to hit an arbitrary open neighborhood of the origin is finite for every starting state. In dimension $d=2$, necessary and sufficient conditions for stability are known, but fundamentally new phenomena arise in higher dimensions. Building on prior work by El Kharroubi, Ben Tahar and Yaacoubi [Stochastics Stochastics Rep. 68 (2000) 229--253, Math. Methods Oper. Res. 56 (2002) 243--258], we provide necessary and sufficient conditions for stability of SRBMs in three dimensions; to verify or refute these conditions is a simple computational task. As a byproduct, we find that the fluid-based criterion of Dupuis and Williams [Ann. Probab. 22 (1994) 680--702] is not only sufficient but also necessary for stability of SRBMs in three dimensions. That is, an SRBM in three dimensions is positive recurrent if and only if every path of the associated fluid model is attracted to the origin. The problem of recurrence classification for SRBMs in four and higher dimensions remains open.

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Cited in

(23)

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• A multi-dimensional SRBM: geometric views of its product form stationary distribution

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