Stability of two-dimensional Markov processes, with an application to QBD processes with an infinite number of phases

TL;DR

This paper establishes a simple drift condition for the stability of certain two-dimensional Markov processes, especially QBD processes with interdependent phase and level components, facilitating easier stability analysis.

Contribution

It introduces a new, easily verifiable drift condition for the stability of two-dimensional Markov processes with unbounded jumps and interdependence.

Findings

Provides a drift condition applicable to QBD processes on quarter- and half-planes.

Offers a practical technique for stability analysis of complex Markov processes.

Bridges a gap in literature for processes with unbounded jumps and component interdependence.

Abstract

In this paper, we derive a simple drift condition for the stability of a class of two-dimensional Markov processes, for which one of the coordinates (also referred to as the {\em phase} for convenience) has a well understood behaviour dependent on the other coordinate (also referred as {\em level}). The first (phase) component's transitions may depend on the second component and are only assumed to be eventually independent. The second (level) component has partially bounded jumps and it is assumed to have a negative drift given that the first one is in its stationary distribution. The results presented in this work can be applied to processes of the QBD (quasi-birth-and-death) type on the quarter- and on the half-plane, where the phase and level are interdependent. Furthermore, they provide an off-the-shelf technique to tackle stability issues for a class of two-dimensional Markov processes. These results set the stepping stones towards closing the existing gap in the literature of deriving easily verifiable conditions/criteria for two-dimensional processes with unbounded jumps and interdependence between the two components.