Asymptotic irrelevance of initial conditions for skorohod reflection mapping on the nonnegative orthant

Offer Kella*, S. Ramasubramanian

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

A reflection map, induced by the deterministic Skorohod problem on the nonnegative orthant, is applied to a vector-valued function X on the nonnegative real line and then to a + X, where a is a nonnegative constant vector. A question that was posed over 15 years ago is, under what conditions does the difference between the two resulting regulated functions converge to zero for any choice of a as time diverges. This, in turn, implies that if one imposes enough stochastic structure that ensures that the reflection map applied to a multidimensional process X converges in distribution, then it will also converge in distribution when it is applied to ν + X, where . is any almost surely finite-valued random vector that may even depend on the process X. In this paper we obtain a useful equivalent characterization of this property. As a result, we are able to identify a natural sufficient condition in terms of the given data X and the constant routing matrix. A similar necessary condition is also indicated. A particular implication of our analysis is that under additional stochastic assumptions, asymptotic irrelevance of the initial condition does not require the existence of a stationary distribution. As immediate corollaries of our (and earlier) results we conclude that under the natural stability conditions, a reflected Lévy process as well as a Markov additive process has a unique stationary distribution and converges in distribution to this stationary distribution for every initial condition. Extensions of the sufficient condition are then developed for reflection maps with drift and routing coefficients that may be time- and state-dependent; some implications to multidimensional insurance models are briefly discussed.

Original languageAmerican English
Pages (from-to)301-312
Number of pages12
JournalMathematics of Operations Research
Volume37
Issue number2
DOIs
StatePublished - May 2012

Keywords

  • Insensitivity to initial conditions
  • Multidimensional Lévy process
  • Multidimensional Markov additive process
  • Multidimensional insurance model
  • Reflected process
  • Reflection mapping
  • Ruin problem
  • Skorohod problem

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