One-sided Markov additive processes with lattice and non-lattice increments

Abstract

Dating from the work of Neuts in the 1980s, the field of matrix-analytic methods has been developed to analyse discrete or continuous-time Markov chains with a two-dimensional state space in which the increment of a level variable is governed by an auxiliary phase variable. More recently, matrix-analytic techniques have been applied to general Markov additive models with a finite phase space. The basic assumption underlying these developments is that the process is skip-free (in the case of QBDs or fluid queues) or that it is one-sided, that is it is jump-free in one direction. From the Markov additive perspective, traditional matrix-analytic models can be viewed as special cases: for M/G/1 and GI/M/1-type Markov chains, increments in the level are constrained to be lattice random variables and for fluid queues, they have to be piecewise linear. In this paper we discuss one-sided lattice and non-lattice Markov additive processes in parallel. Results that are standard in one tradition are interpreted in the other, and new perspectives emerge. In particular, using three fundamental matrices, we address hitting, two-sided exit, and creeping probabilities.