A positive recurrence criterion associated with multidimensional queueing processes

1980 ◽  
Vol 17 (3) ◽  
pp. 790-801 ◽  
Author(s):  
Zvi Rosberg
Keyword(s):  
Markov Chain ◽  
State Space ◽  
Queueing Network ◽  
Multidimensional Case ◽  
Positive Recurrence ◽  
One Dimensional ◽  
Queueing Processes ◽  
Irreducible Markov Chain

A criterion is given for positive recurrence of a multidimensional, aperiodic, irreducible Markov chain with a denumerable state space. This criterion extends to the multidimensional case Foster's one-dimensional criterion. The multidimensional criterion consists of several conditions, one for each coordinate of the process. The usefulness of this criterion is shown through a queueing network example.

A positive recurrence criterion associated with multidimensional queueing processes

1980 ◽  
Vol 17 (03) ◽  
pp. 790-801 ◽  
Author(s):  
Zvi Rosberg
Keyword(s):  
Markov Chain ◽  
State Space ◽  
Queueing Network ◽  
Multidimensional Case ◽  
Positive Recurrence ◽  
One Dimensional ◽  
Queueing Processes ◽  
Irreducible Markov Chain

A criterion is given for positive recurrence of a multidimensional, aperiodic, irreducible Markov chain with a denumerable state space. This criterion extends to the multidimensional case Foster's one-dimensional criterion. The multidimensional criterion consists of several conditions, one for each coordinate of the process. The usefulness of this criterion is shown through a queueing network example.

scholarly journals Conditioning an additive functional of a Markov chain to stay nonnegative. I. Survival for a long time

2005 ◽  
Vol 37 (4) ◽  
pp. 1015-1034 ◽  
Author(s):  
Saul D. Jacka ◽  
Zorana Lazic ◽  
Jon Warren
Keyword(s):  
Markov Chain ◽  
Weak Convergence ◽  
State Space ◽  
Continuous Time ◽  
Additive Functional ◽  
Finite State ◽  
Long Time ◽  
Negative Drift ◽  
Irreducible Markov Chain ◽  
Finite State Space

Let (Xt)t≥0 be a continuous-time irreducible Markov chain on a finite state space E, let v be a map v: E→ℝ\{0}, and let (φt)t≥0 be an additive functional defined by φt=∫0tv(Xs)d s. We consider the case in which the process (φt)t≥0 is oscillating and that in which (φt)t≥0 has a negative drift. In each of these cases, we condition the process (Xt,φt)t≥0 on the event that (φt)t≥0 is nonnegative until time T and prove weak convergence of the conditioned process as T→∞.

A note on the ergodicity of Markov chains

1981 ◽  
Vol 18 (1) ◽  
pp. 112-121 ◽  
Author(s):  
Zvi Rosberg
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
State Space ◽  
Liapunov Function ◽  
Test Function ◽  
Irreducible Markov Chain

For an aperiodic, irreducible Markov chain with the non-negative integers as state space, a criterion for ergodicity is given. This criterion generalizes the criteria appearing in Foster (1953), Pakes (1969) and Marlin (1973), in the sense that any test function (Liapunov function) which satisfies their conditions also satisfies ours. Applications are presented through some examples.

scholarly journals Necessary and sufficient conditions for recurrence and transience of Markov chains, in terms of inequalities

1978 ◽  
Vol 15 (4) ◽  
pp. 848-851 ◽  
Author(s):  
Jean-François Mertens ◽  
Ester Samuel-Cahn ◽  
Shmuel Zamir
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
State Space ◽  
Bounded Solution ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Existence Of A Solution ◽  
Necessary And Sufficient ◽  
Irreducible Markov Chain

For an aperiodic, irreducible Markov chain with the non-negative integers as state space it is shown that the existence of a solution to in which yi → ∞is necessary and sufficient for recurrence, and the existence of a bounded solution to the same inequalities, with yk < yo, · · ·, yN–1 for some k ≧ N, is necessary and sufficient for transience.

scholarly journals Markov Chains Conditioned Never to Wait Too Long at the Origin

2009 ◽  
Vol 46 (03) ◽  
pp. 812-826
Author(s):  
Saul Jacka
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
State Space ◽  
Sufficient Conditions ◽  
Weak Limit ◽  
The State ◽  
Coin Tossing ◽  
First Time ◽  
Vague Convergence ◽  
Irreducible Markov Chain

Motivated by Feller's coin-tossing problem, we consider the problem of conditioning an irreducible Markov chain never to wait too long at 0. Denoting by τ the first time that the chain,X, waits for at least one unit of time at the origin, we consider conditioning the chain on the event (τ›T). We show that there is a weak limit asT→∞ in the cases where either the state space is finite orXis transient. We give sufficient conditions for the existence of a weak limit in other cases and show that we have vague convergence to a defective limit if the time to hit zero has a lighter tail than τ and τ is subexponential.

A note on the ergodicity of Markov chains

1981 ◽  
Vol 18 (01) ◽  
pp. 112-121 ◽  
Author(s):  
Zvi Rosberg
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
State Space ◽  
Liapunov Function ◽  
Test Function ◽  
Irreducible Markov Chain

For an aperiodic, irreducible Markov chain with the non-negative integers as state space, a criterion for ergodicity is given. This criterion generalizes the criteria appearing in Foster (1953), Pakes (1969) and Marlin (1973), in the sense that any test function (Liapunov function) which satisfies their conditions also satisfies ours. Applications are presented through some examples.

scholarly journals Conditioning an additive functional of a Markov chain to stay nonnegative. I. Survival for a long time

2005 ◽  
Vol 37 (04) ◽  
pp. 1015-1034 ◽  
Author(s):  
Saul D. Jacka ◽  
Zorana Lazic ◽  
Jon Warren
Keyword(s):  
Markov Chain ◽  
Weak Convergence ◽  
State Space ◽  
Continuous Time ◽  
Additive Functional ◽  
Finite State ◽  
Long Time ◽  
Negative Drift ◽  
Irreducible Markov Chain ◽  
Finite State Space

Let (X t ) t≥0 be a continuous-time irreducible Markov chain on a finite state space E, let v be a map v: E→ℝ\{0}, and let (φ t ) t≥0 be an additive functional defined by φ t =∫0 t v(X s )d s. We consider the case in which the process (φ t ) t≥0 is oscillating and that in which (φ t ) t≥0 has a negative drift. In each of these cases, we condition the process (X t ,φ t ) t≥0 on the event that (φ t ) t≥0 is nonnegative until time T and prove weak convergence of the conditioned process as T→∞.

scholarly journals Necessary and sufficient conditions for recurrence and transience of Markov chains, in terms of inequalities

1978 ◽  
Vol 15 (04) ◽  
pp. 848-851 ◽  
Author(s):  
Jean-François Mertens ◽  
Ester Samuel-Cahn ◽  
Shmuel Zamir
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
State Space ◽  
Bounded Solution ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Existence Of A Solution ◽  
Necessary And Sufficient ◽  
Irreducible Markov Chain

For an aperiodic, irreducible Markov chain with the non-negative integers as state space it is shown that the existence of a solution to in which yi → ∞is necessary and sufficient for recurrence, and the existence of a bounded solution to the same inequalities, with yk &lt; y o, · · ·, yN –1 for some k ≧ N, is necessary and sufficient for transience.

scholarly journals Markov Chains Conditioned Never to Wait Too Long at the Origin

2009 ◽  
Vol 46 (3) ◽  
pp. 812-826
Author(s):  
Saul Jacka
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
State Space ◽  
Sufficient Conditions ◽  
Weak Limit ◽  
The State ◽  
Coin Tossing ◽  
First Time ◽  
Vague Convergence ◽  
Irreducible Markov Chain

Motivated by Feller's coin-tossing problem, we consider the problem of conditioning an irreducible Markov chain never to wait too long at 0. Denoting by τ the first time that the chain, X, waits for at least one unit of time at the origin, we consider conditioning the chain on the event (τ›T). We show that there is a weak limit as T→∞ in the cases where either the state space is finite or X is transient. We give sufficient conditions for the existence of a weak limit in other cases and show that we have vague convergence to a defective limit if the time to hit zero has a lighter tail than τ and τ is subexponential.

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