Stability of multidimensional skip-free Markov modulated reflecting random walks: Revisit to Malyshev and Menshikov's results and application to queueing networks

Abstract

Let $\{\boldsymbol{X}_n\}$ be a discrete-time $d$-dimensional process on $\mathbb{Z}_+^d$ with a supplemental (background) process $\{J_n\}$ on a finite set and assume the joint process $\{\boldsymbol{Y}_n\}=\{(\boldsymbol{X}_n,J_n)\}$ to be Markovian. Then, the process $\{\boldsymbol{X}_n\}$ can be regarded as a kind of reflecting random walk (RRW for short) in which the transition probabilities of the RRW are modulated according to the state of the background process $\{J_n\}$; we assume this modulation is space-homogeneous inside $\mathbb{Z}_+^d$ and on each boundary face of $\mathbb{Z}_+^d$. Further we assume the process $\{\boldsymbol{X}_n\}$ is skip free in all coordinates and call the joint process $\{\boldsymbol{Y}_n\}$ a $d$-dimensional skip-free Markov modulated reflecting random walk (MMRRW for short). The MMRRW is an extension of an ordinary RRW and stability of ordinary RRWs have been studied by Malyshev and Menshikov. Following their results, we obtain stability and instability conditions for MMRRWs and apply our results to stability analysis of a two-station network.