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Asymptotic properties of the occupation measure in a multidimensional skip-free Markov-modulated random walk
Queueing Systems ( IF 1.2 ) Pub Date : 2020-11-03 , DOI: 10.1007/s11134-020-09673-9
Toshihisa Ozawa

We consider a discrete-time d-dimensional process \(\{{\varvec{X}}_n\}=\{(X_{1,n},X_{2,n},\ldots ,X_{d,n})\}\) on \({\mathbb {Z}}^d\) with a background process \(\{J_n\}\) on a countable set \(S_0\), where individual processes \(\{X_{i,n}\},i\in \{1,2,\ldots ,d\},\) are skip free. We assume that the joint process \(\{{\varvec{Y}}_n\}=\{({\varvec{X}}_n,J_n)\}\) is Markovian and that the transition probabilities of the d-dimensional process \(\{{\varvec{X}}_n\}\) vary according to the state of the background process \(\{J_n\}\). This modulation is assumed to be space homogeneous. We refer to this process as a d-dimensional skip-free Markov-modulated random walk. For \({\varvec{y}}, {\varvec{y}}'\in {\mathbb {Z}}_+^d\times S_0\), consider the process \(\{{\varvec{Y}}_n\}_{n\ge 0}\) starting from the state \({\varvec{y}}\) and let \({\tilde{q}}_{{\varvec{y}},{\varvec{y}}'}\) be the expected number of visits to the state \({\varvec{y}}'\) before the process leaves the nonnegative area \({\mathbb {Z}}_+^d\times S_0\) for the first time. For \({\varvec{y}}=({\varvec{x}},j)\in {\mathbb {Z}}_+^d\times S_0\), the measure \(({\tilde{q}}_{{\varvec{y}},{\varvec{y}}'}; {\varvec{y}}'=({\varvec{x}}',j')\in {\mathbb {Z}}_+^d\times S_0)\) is called an occupation measure. Our primary aim is to obtain the asymptotic decay rate of the occupation measure as \({\varvec{x}}'\) goes to infinity in a given direction. We also obtain the convergence domain of the matrix moment generating function of the occupation measure.



中文翻译:

多维无跳跃马尔可夫调制随机游动中职业测度的渐近性质

我们考虑离散时间d维过程\(\ {{\ varvec {X}} _ n \} = \ {(X_ {1,n},X_ {2,n},\ ldots,X_ {d,n })\} \)\({\ mathbb {Z}} ^ d \)上,而背景进程\(\ {J_n \} \)在可数集合\(S_0 \)上,其中单个进程\(\ { \ {1,2,\ ldots,d \},\)中的X_ {i,n} \},i \是免费跳过的。我们假设联合过程\(\ {{\ varvec {Y}} _ n \} = \ {({\ varvec {X}} _ n,J_n)\} \)是马尔可夫式,并且d的转移概率-尺寸过程\(\ {{\ varvec {X}} _ n \} \)根据后台过程\(\ {J_n \} \)的状态而变化。假定该调制是空间均匀的。我们将此过程称为d维无跳跃马尔可夫调制随机游动。对于\({\ varvec {y}},{\ varvec {y}}'\ {{mathbb {Z}} _ + ^ d \ times S_0 \)中的\(\ {{\ varvec {Y }} _ n \} _ {n \ ge 0} \)从状态\({\ varvec {y}} \)开始并让\({\ tilde {q}} _ {{\ varvec {y}}, {\ varvec {y}}'} \)是进程离开非负区域\({\ mathbb {Z}} _ +之前对状态\({\ varvec {y}}'\)的预期访问次数^ d \次S_0 \)。对于\({\ varvec {y}} =({{varvec {x}},j)\ {{mathbb {Z}} _ + ^ d \ times_0_0)中的度量\(({{tilde {q}} _ {{\ varvec {y}}'}; {\ varvec {y}}'}; {\ varvec {y}}'=({\ varvec {x}}',j ')\在{\ mathbb {Z}} _ + ^ d \ times S_0)\)中被称为占领措施。我们的主要目的是获得占领度量的渐近衰减率,因为\({\ varvec {x}}'\)在给定方向上达到无穷大。我们还获得了占用度量的矩阵矩生成函数的收敛域。

更新日期:2020-11-03
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