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Stochastic decompositions in bivariate risk and queueing models with mutual assistance

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We consider two bivariate models with two-way interactions in context of risk and queueing theory. The two entities interact with each other by providing assistance but otherwise evolve independently. We focus on certain random quantities underlying the joint survival probability and the joint stationary workload, and show that these admit stochastic decomposition. Each one can be seen as an independent sum of respective quantities for the two models with one-way interaction. Additionally, we discuss a rather general method of establishing decompositions from a given kernel equation by identifying two independent random variables from their difference, which may be useful for other models. Finally, we point out that the same decomposition is true for uncorrelated Brownian motion reflected to stay in a quadrant, and it concerns the face measures appearing in the basic adjoint relationship.

Original languageEnglish
JournalStochastic Models
ISSN1532-6349
DOIs
Publication statusE-pub ahead of print - 2020

    Research areas

  • basic adjoint relationship, coupled processor, fluid network, kernel equation, reflection in quadrant, stochastic decomposition, two-way interaction

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