Stationary analysis of certain Markov-modulated reflected random walks in the quarter plane

Abstract

In this work, we focus on the stationary analysis of a specific class of continuous time Markov modulated reflected random walk in the quarter plane with applications in the modelling of twonode Markov-modulated queueing networks with coupled queues. The transition rates of the twodimensional process depend on the state of a finite state Markovian background process. Such a modulation is space homogeneous in the set of inner states of the two-dimensional lattice but may be different in the set of states at its boundaries. To obtain the stationary distribution, we apply the power series approximation method, and the theory of Riemann boundary value problems. We also obtain explicit expressions for the first moments of the stationary distribution under some symmetry assumptions. Using a queueing network example, we numerically validated the theoretical findings.