A Markovian single-server queue is studied in an interactive random environment. The arrival and service rates of the queue depend on the environment, while the transition dynamics of the random environment depends on the queue length. We consider in detail two types of Markov random environments: a pure jump process and a reflected jump-diffusion. In both cases, the joint dynamics is constructed so that the stationary distribution can be explicitly found in a simple form (weighted geometric). We also derive an explicit estimate for exponential rate of convergence to the stationary distribution via coupling.
We reduce the construction of a weak solution of the Cauchy problem for the Navier-Stokes system on R 3 to the construction of a solution to a stochastic problem. Namely, we construct diffusion processes which allow us to obtain a probabilistic representation of a weak (in distributional sense) solution to the Cauchy problem for the Navier-Stokes system on a small time interval. Strong solutions on a small time interval are constructed as well
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