Positive recurrence of reflecting Brownian motion in three dimensions

DOI10.1214/09-AAP631zbMATH Open1200.60066arXiv1009.5746OpenAlexW3104412649WikidataQ56906920 ScholiaQ56906920MaRDI QIDQ968783FDOQ968783

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

Publication date: 6 May 2010

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

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.

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

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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)

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Cited In (22)

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• Positive recurrence for reflecting Brownian motion in higher dimensions
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• Multidimensional random walk with reflections
• Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions
• Reflecting Brownian motion in three dimensions: a new proof of sufficient conditions for positive recurrence
• Optimal Paths in Large Deviations of Symmetric Reflected Brownian Motion in the Octant
• The stability of the deterministic Skorokhod problem is undecidable
• A multi-dimensional SRBM: geometric views of its product form stationary distribution
• Exponential ergodicity and convergence for generalized reflected Brownian motion
• Asymptotics for the Green's functions of a transient reflected Brownian motion in a wedge
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• Variational problem in the non-negative orthant of \(\mathbb{R}^{3}\): reflective faces and boundary influence cones
• A new family of positive recurrent semimartingale reflecting Brownian motions in an orthant
• Light tail asymptotics in multidimensional reflecting processes for queueing networks
• Decomposable stationary distribution of a multidimensional SRBM
• A dual skew symmetry for transient reflected Brownian motion in an orthant

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