Feedback control: Two-sided Markov-modulated Brownian motion with instantaneous change of phase at boundaries

• Published in: Performance evaluation Vol. 106; pp. 30 - 49
• Main Authors: Latouche, Guy, Nguyen, Giang T.
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.12.2016
• Subjects: Feedback; Finite buffer; Fluid queues; Markov-modulated Brownian motion; Regenerative processes; Stationary distribution; Markov-modulated Brownian motion; Finite buffer; Fluid queues; Feedback; Regenerative processes; Stationary distribution
• ISSN: 0166-5316; 1872-745X
• DOI: 10.1016/j.peva.2016.09.004

We consider a Markov-modulated Brownian motion {Y(t),ρ(t)} with two boundaries at 0 and b>0, and allow for the controlling Markov chain {ρ(t)} to instantaneously undergo a change of phase upon hitting either of the two boundaries at semi-regenerative epochs defined to be the first time the process reaches a boundary since it last hits the other boundary. We call this process a flexible Markov-modulated Brownian motion. Using the recently-established links between stochastic fluid models and Markov-modulated Brownian motions, we determine important characteristics of first exit times of a Markov-modulated Brownian motion from an interval with a regulated boundary. These results allow us to follow a Markov-regenerative approach and obtain the stationary distribution of the flexible process. This highlights the effectiveness of the regenerative approach in analyzing Markov-modulated Brownian motions subject to more general boundary behaviors than the classic regulated boundaries.