Advances in Applied Probability · 2015 · 11 citations · 45 references
EngineeringComputer ScienceProbability TheoryQueuing TheoryStochastic ProcessesBirth-death ProcessesMarkov ChainsMarkov ProcessesQueueing SystemsQueueing TheoryStochastic NetworksEquilibriumEquilibrium Distribution FunctionsJackson NetworksMarginal DistributionsSpectral GapsStationary DistributionsStochastic Birth-death ProcessesStochastic Processes On Networks
The goal of this paper is to identify exponential convergence rates and to find computable bounds for them for Markov processes representing unreliable Jackson networks. First, we use the bounds of Lawler and Sokal (1988) in order to show that, for unreliable Jackson networks, the spectral gap is strictly positive if and only if the spectral gaps for the corresponding coordinate birth and death processes are positive. Next, utilizing some results on birth and death processes, we find bounds on the spectral gap for network processes in terms of the hazard and equilibrium functions of the one-dimensional marginal distributions of the stationary distribution of the network. These distributions must be in this case strongly light-tailed, in the sense that their discrete hazard functions have to be separated from 0. We relate these hazard functions with the corresponding networks' service rate functions using the equilibrium rates of the stationary one-dimensional marginal distributions. We compare the obtained bounds on the spectral gap with some other known bounds.
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Stochastic Processes for Insurance and Finance
Larry Y. Tzeng, Volker Schmidt, Hanspeter Schmidli et al. · Journal of Risk & Insurance · 2001 · 863 citations
Strong Stationary Times Via a New Form of Duality
Persi Diaconis, James Allen Fill · The Annals of Probability · 1990 · 276 citations · Full text
Engineering, Mathematics, Physics +17