Modified Lindley process with replacement: dynamic behavior, asymptotic decomposition and applications

Abstract

We consider a discrete-time stochastic process {Wn , n≧0} governed by i.i.d random variables {ξ n } whose distribution has support on (–∞,∞) and replacement random variables {Rn } whose distributions have support on [0,∞). Given Wn, Wn + 1 takes the value Wn + ζ n + 1 if it is non-negative. Otherwise Wn + 1 takes the value Rn + 1 where the distribution of Rn + 1 depends only on the value of Wn + ζn + 1 . This stochastic process is reduced to the ordinary Lindley process for GI/G/1 queues when Rn = 0 and is called a modified Lindley process with replacement (MLPR). It is shown that a variety of queueing systems with server vacations or priority can be formulated as MLPR. An ergodic decomposition theorem is given which contains recent results of Doshi (1985) and Keilson and Servi (1986) as special cases, thereby providing a unified view.