In this work, we focus on the stationary analysis of a specific class of continuous time Markov-modulated reflected random walks in the quarter plane with applications in the modelling of two-node Markov-modulated queueing networks with coupled queues. The transition rates of the two-dimensional process depend on the state of a finite state Markovian background process. Such a modulation is space homogeneous in the set of inner states of the two-dimensional lattice but may be different in the set of states at its boundaries. To obtain the stationary distribution, we apply the power series approximation method, and the theory of Riemann boundary value problems. We also obtain explicit expressions for the first moments of the stationary distribution under some symmetry assumptions. An application in the modelling of a priority retrial system with coupled orbit queues is also presented. Using a queueing network example, we numerically validated the theoretical findings.
Brownian motion in R 2 + with covariance matrix $Σ$ and drift $μ$ in the interior and reflection matrix R from the axes is considered. The asymptotic expansion of the stationary distribution density along all paths in R 2 + is found and its main term is identified depending on parameters ($Σ$, $μ$, R). For this purpose the analytic approach of Fayolle, Iasnogorodski and Malyshev in [12] and [36], restricted essentially up to now to discrete random walks in Z 2 + with jumps to the nearest-neighbors in the interior is developed in this article for diffusion processes on R 2 + with reflections on…
In this paper we study a reflected Markov-modulated Brownian motion with a two sided reflection in which the drift, diffusion coefficient and the two boundaries are (jointly) modulated by a finite state space irreducible continuous time Markov chain. The goal is to compute the stationary distribution of this Markov process, which in addition to the complication of having a stochastic boundary can also include jumps at state change epochs of the underlying Markov chain because of the boundary changes. We give the general theory and then specialize to the case where the underlying Markov chain h…
We consider a Markov-modulated Brownian motion reflected to stay in a strip [0,B]. The stationary distribution of this process is known to have a simple form under some assumptions. We provide a short probabilistic argument leading to this result and explaining its simplicity. Moreover, this argument allows for generalizations including the distribution of the reflected process at an independent exponentially distributed epoch. Our second contribution concerns transient behavior of the reflected system. We identify the joint law of the processes t,X(t),J(t) at inverse local times.
We consider a Brownian motion with drift in the quarter plane with orthogonal reflection on the axes. The Laplace transform of its stationary distribution satisfies a functional equation, which is reminiscent from equations arising in the enumeration of (discrete) quadrant walks. We develop a Tutte's invariant approach to this continuous setting, and we obtain an explicit formula for the Laplace transform in terms of generalized Chebyshev polynomials.
Random walks in the quarter plane are an important object both of combinatorics and probability theory. Of particular interest for their study, there is an analytic approach initiated by Fayolle, Iasnogorodski and Malyshev, and further developed by the last two authors of this note. The outcomes of this method are explicit expressions for the generating functions of interest, asymptotic analysis of their coefficients, etc. Although there is an important literature on reflected Brownian motion in the quarter plane (the continuous counterpart of quadrant random walks), an analogue of the analyti…
In this note we give a(nother) combinatorial proof of an old result of Baik--Rains: that for appropriately considered independent geometric weights, the generating series for last passage percolation polymers in a $2n \times n \times n$ quarter square (point-to-half-line-reflected geometry) splits as the product of two simpler generating series---that for last passage percolation polymers in a point-to-line geometry and that for last passage percolation in a point-to-point-reflected (half-space) geometry, the latter both in an $n \times n \times n$ triangle. As a corollary, for iid geometric r…
The stationary reflected Brownian motion in a three-quarter plane has been rarely analyzed in the probabilistic literature, in comparison with the quarter plane analogue model. In this context, our main result is to prove that the stationary distribution can indeed be found by solving a boundary value problem of the same kind as the one encountered in the quarter plane, up to various dualities and symmetries. The main idea is to start from Fourier (and not Laplace) transforms, allowing to get a functional equation for a single function of two complex variables.
We extend to Markov-modulated Brownian motion (MMBM) the renewal approach which has been successfully applied to the analysis of Markov-modulated fluid models. It has recently been shown that MMBM may be expressed as the limit of a parameterized family of Markov-modulated fluid models. We prove that the weak convergence also holds for systems with two reflecting boundaries, one at zero and one at $b >0$, and that the stationary distributions of the approximating fluid models converge to the stationary distribution of the two-sided reflected MMBM. Thus, we obtain a new representation for the st…
Ramaswami showed recently that standard Brownian motion arises as the limit of a family of Markov-modulated linear fluid processes. We pursue this analysis with a fluid approximation for Markov-modulated Brownian motion. Furthermore, we prove that the stationary distribution of a Markov-modulated Brownian motion reflected at zero is the limit from the well-analyzed stationary distribution of approximating linear fluid processes. Key matrices in the limiting stationary distribution are shown to be solutions of a new quadratic equation, and we describe how this equation can be efficiently solved…
This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson (possibly Markov modulated) input. In this case, we analyze the complexity of our procedure as the dimension of the network increases and show that, under certain assumptions, the algorithm has polynomial-expected termination time. Our methodology includes procedures that are of interest beyond steady-state simulation and reflected processes. For instance, we u…
We revisit a single-server retrial queue with two independent Poisson streams (corresponding to two types of customers) and two orbits. The size of each orbit is infinite. The exponential server (with a rate independent of the type of customers) can hold at most one customer at a time and there is no waiting room. Upon arrival, if a type $i$ customer $(i=1,2)$ finds a busy server, it will join the type $i$ orbit. After an exponential time with a constant (retrial) rate $μ_i$, an type $i$ customer attempts to get service. This model has been recently studied by Avrachenkov, Nain and Yechiali~\c…
Power law distributions have been repeatedly observed in a wide variety of socioeconomic, biological and technological areas. In many of the observations, e.g., city populations and sizes of living organisms, the objects of interest evolve due to the replication of their many independent components, e.g., births-deaths of individuals and replications of cells. Furthermore, the rates of the replication are often controlled by exogenous parameters causing periods of expansion and contraction, e.g., baby booms and busts, economic booms and recessions, etc. In addition, the sizes of these objects …
We consider a tandem queue with coupled processors, which is subject to global breakdowns. When the network is in the operating mode and both queues are non empty, the total service capacity is shared among the stations according to fixed proportions. When one of the stations becomes empty, the total service capacity is given to the non-empty station. Moreover, arrival rates depend on the state of the network. The system is described by a Markov modulated random walk in the quarter plane representing the number of jobs in the two stations and the state of the network. By applying the generatin…
Reflected Brownian motion (RBM) in a convex polyhedral cone arises in a variety of applications ranging from the theory of stochastic networks to math finance, and under general stability conditions, it has a unique stationary distribution. In such applications, to implement a stochastic optimization algorithm or quantify robustness of a model, it is useful to characterize the dependence of stationary performance measures on model parameters. In this work we characterize parametric sensitivities of the stationary distribution of an RBM in a simple convex polyhedral cone; that is, sensitivities…
