Matrix geometric approach for random walks: stability condition and equilibrium distribution [article]

Stella Kapodistria, Zbigniew Palmowski
2017 arXiv   pre-print
In this paper, we analyse a sub-class of two-dimensional homogeneous nearest neighbour (simple) random walk restricted on the lattice using the matrix geometric approach. In particular, we first present an alternative approach for the calculation of the stability condition, extending the result of Neuts drift conditions [30] and connecting it with the result of Fayolle et al. which is based on Lyapunov functions [13]. Furthermore, we consider the sub-class of random walks with equilibrium
more » ... butions given as series of product-forms and, for this class of random walks, we calculate the eigenvalues and the corresponding eigenvectors of the infinite matrix R appearing in the matrix geometric approach. This result is obtained by connecting and extending three existing approaches available for such an analysis: the matrix geometric approach, the compensation approach and the boundary value problem method. In this paper, we also present the spectral properties of the infinite matrix R.
arXiv:1603.04842v4 fatcat:sal54ywcurfozfla4stpkxebgi