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 approximationfluid modelheavy trafficqueueing networksreflecting Brownian motionSkorohod problemtransience

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Diffusion processes (60J60) Brownian motion (60J65) Queueing theory (aspects of probability theory) (60K25) 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.

Review text

The paper considers a semimartingale reflecting Brownian motion (SRBM) \(Z\) whose state space is the \(d\)-dimensional nonnegative orthant. The data of the process are a drift vector \(\theta \), a nonsingular covariance matrix \(\Gamma \), and a \(d \times d\) reflection matrix \(R\) that specifies boundary behavior. In the interior of the orthant, \(Z\) behaves as an ordinary Brownian motion with parameters \(\theta \) and \(\Gamma \), and \(Z\) is pushed in direction \({R^j}\) whenever the boundary surface \(\{ z \in S:{z_j} = 0\} \) is hit, where \({R^j}\) is the \(j\)th column of \(R\). SRBM is said to be positive recurrent, or stable, if the expected time to hit an arbitrary open neighborhood of the origin is finite for every starting state. The authors provide necessary and sufficient conditions for stability of SRBMs in three dimensions; to verify or refute these conditions is a simple computational task. The problem of recurrence classification for SRBMs in four and higher dimensions remains open.

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Cited in

(23)

• Multidimensional random walk with reflections
• Reflecting Brownian motion in three dimensions: a new proof of sufficient conditions for positive recurrence
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