Hitting probabilities of constrained random walks representing tandem networks


الملخص بالإنكليزية

Let $X$ be the constrained random walk on $mathbb{Z}_+^d$ $d >2$, having increments $e_1$, $-e_i+e_{i+1}$ $i=1,2,3,...,d-1$ and $-e_d$ with probabilities $lambda$, $mu_1$, $mu_2$,...,$mu_d$, where ${e_1,e_2,..,e_d}$ are the standard basis vectors. The process $X$ is assumed stable, i.e., $lambda < mu_i$ for all $i=1,2,3,...,d.$ Let $tau_n$ be the first time the sum of the components of $X$ equals $n$. We derive approximation formulas for the probability ${mathbb P}_x(tau_n < tau_0)$. For $x in bigcup_{i=1}^d Big{x in {mathbb R}^d_+: sum_{j=1}^{i} x(j)$ $> left(1 - frac{log lambda/min mu_i}{log lambda/mu_i}right) Big}$ and a sequence of initial points $x_n/n rightarrow x$ we show that the relative error of the approximation decays exponentially in $n$. The approximation formula is of the form ${mathbb P}_y(tau < infty)$ where $tau$ is the first time the sum of the components of a limit process $Y$ is $0$; $Y$ is the process $X$ as observed from a point on the exit boundary except that it is unconstrained in its first component (in particular $Y$ is an unstable process); $Y$ and ${mathbb P}_y(tau< infty)$ arise naturally as the limit of an affine transformation of $X$ and the probability ${mathbb P}_x(tau_n < tau_0).$ The analysis of the relative error is based on a new construction of supermartingales. We derive an explicit formula for ${mathbb P}_y(tau < infty)$ in terms of the ratios $lambda/mu_i$ which is based on the concepts of harmonic systems and their solutions and conjugate points on a characteristic surface associated with the process $Y$; the derivation of the formula assumes $mu_i eq mu_j$ for $i eq j.$

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