Random walk on a quadrant: mapping to a one-dimensional level-dependent Quasi-Birth-and-Death process (LD-QBD)

TL;DR

This paper models a complex two-dimensional random walk in a quadrant as a one-dimensional level-dependent Quasi-Birth-and-Death process, enabling analysis of its transient and stationary behaviors using matrix-analytic methods.

Contribution

It introduces a novel transformation of a 2D random walk into a 1D LD-QBD, facilitating detailed analysis of the process's dynamics.

Findings

Derived the transformation to LD-QBD for the random walk

Analyzed transient and stationary distributions using matrix-analytic methods

Computed distributions at first hitting times

Abstract

We consider a neighbourhood random walk on a quadrant, $\{(X_1(t),X_2(t),\varphi(t)):t\geq 0\}$, with state space \begin{eqnarray*} \mathcal{S}&=&\{(n,m,i):n,m=0,1,2,\ldots;i=1,2,\ldots,k(n,m)\}. \end{eqnarray*} Assuming start in state $(n,m,i)$, the process spends exponentially distributed amount of time in $(n,m,i)$ according to some parameter $\lambda_i^{(n,m)}$. Upon leaving state $(n,m,i)$ the process moves to some state $(n^{'},m^{'},j)$ with $j\in\{1,\ldots,k(n^{'},m^{'})\}$ and $n^{'}\in\{n-1,n,n+1\}$, $m^{'}\in\{m-1,m,m+1\}$, according to some probabilities $(p_{n;a}^{m;b})_{i,j}$ with $a,b\in\{+,-,0\}$. We transform this process into a one-dimensional LD-QBD $\{(Z(t),\chi(t)):t\geq 0\}$ with level variable $Z(t)$ and phase variable $\chi(t)$. Using this transform we find its transient and stationary analysis using matrix-analytic methods, as well as the distribution at first hitting times.