Positive recurrence of piecewise Ornstein-Uhlenbeck processes and common quadratic Lyapunov functions

Details Positive recurrence of piecewise Ornstein-Uhlenbeck processes and common quadratic Lyapunov functions Positive recurrence of piecewise Ornstein-Uhlenbeck processes and common quadratic Lyapunov functions

2011-07-14

arxiv.org/abs/1107.2873v2

Mathematics

Probability

Scientific paper

We study the positive recurrence of piecewise Ornstein-Uhlenbeck (OU) diffusion processes, which arise from many-server queueing systems with phase-type service requirements. These diffusion processes exhibit different behavior in two regions of the state space, corresponding to `overload' and `underload'. The two regimes cause standard techniques for proving positive recurrence to fail. Using and extending the framework of common quadratic Lyapunov functions from the theory of control, we construct Lyapunov functions for the diffusion approximations corresponding to systems with and without abandonment. With these Lyapunov functions, we prove that piecewise OU processes have a unique stationary distribution.

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