On a class of reflected AR(1) processes

O.J. Boxma, M.R.H. Mandjes, J. Reed

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Abstract

In this paper, we study a reflected AR(1) process, i.e., a process $(Z_n)_n$ obeying the recursion $Z_{n+1}$ = max\{$aZ_n + X_n, 0$\}, with $(X_n)_n$ a sequence of i.i.d. random variables. We find explicit results for the distribution of Zn (in terms of transforms) in case $X_n$ can be written as $Y_n - B_n$, with $(B_n)_n$ being a sequence of independent random variables which are all exp($\lambda$) distributed, and $(Y_n)_n$ i.i.d.; when $|a| <1$ we can also perform the corresponding stationary analysis. Extensions are possible to the case that $(B_n)_n$ are of phase-type. Under a heavy-traffic scaling, it is shown that the process converges to a reflected Ornstein-Uhlenbeck process; the corresponding steady-state distribution converges to the distribution of a Normal random variable conditioned on being positive. Keywords: Reflected processes . queueing . scaling limits
Original languageEnglish
Place of PublicationEindhoven
PublisherEurandom
Number of pages16
Publication statusPublished - 2015

Publication series

NameReport Eurandom
Volume2015012
ISSN (Print)1389-2355

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    Boxma, O. J., Mandjes, M. R. H., & Reed, J. (2015). On a class of reflected AR(1) processes. (Report Eurandom; Vol. 2015012). Eurandom.