Abstract
Let X = (X1, X2 ) be a two-dimensional random variable and X(n), n ∈ N, a sequence of i.i.d. copies of X. The associated random walk is S(n) = X(1)+ · · · + X(n). The corresponding absorbed-reflected walk W (n), n ∈ N, in the first quadrant is given by W (0) = x ∈ R2+ and W (n) = max{0, W (n − 1) − X(n)}, where the maximum is taken coordinate-wise. This is often called the Lindley process and models the waiting times in a two-server queue. We characterize recurrence of this process, assuming suitable, rather mild moment conditions on X. It turns out that this is directly related with the tail asymptotics of the exit time of the random walk x + S(n) from the quadrant, so that the main part of this paper is devoted to an analysis of that exit time in relation with the drift vector, that is, the expectation of X.
Original language | English |
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Pages (from-to) | 2519-2537 |
Number of pages | 19 |
Journal | The Annals of Applied Probability |
Volume | 31 |
Issue number | 6 |
DOIs | |
Publication status | Published - Dec 2021 |
Keywords
- Exit times
- Lindley process
- Queueing theory
- Random walk in the quadrant
- Recurrence
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty