Inhomogeneous perturbation and error bounds for the stationary performance of random walks in the quarter plane

Linear Programming Error Bounds for Random Walks in the Quarter-plane

We consider approximation of the performance of random walks in the quarter-plane. The approximation is in terms of a random walk with a product-form stationary distribution, which is obtained by perturbing the transition probabilities along the boundaries of the state space. A Markov reward approach is used to bound the approximation error. The main contribution of the work is the formulation ...

Invariant measures and error bounds for random walks in the quarter-plane based on sums of geometric terms

We consider homogeneous random walks in the quarter-plane. The necessary conditions which characterize random walks of which the invariant measure is a sum of geometric terms are provided in Chen et al. (arXiv:1304.3316, 2013, Probab Eng Informational Sci 29(02):233–251, 2015). Based on these results, we first develop an algorithm to check whether the invariant measure of a given random walk is...

Random Walks in the Quarter-Plane: Invariant Measures and Performance Bounds

A PRELUDE TO THE THEORY OF RANDOM WALKS IN RANDOM ENVIRONMENTS

A random walk on a lattice is one of the most fundamental models in probability theory. When the random walk is inhomogenous and its inhomogeniety comes from an ergodic stationary process, the walk is called a random walk in a random environment (RWRE). The basic questions such as the law of large numbers (LLN), the central limit theorem (CLT), and the large deviation principle (LDP) are ...

Dual Quantization for random walks with application to credit derivatives

We propose a new Quantization algorithm for the approximation of inhomogeneous random walks, which are the key terms for the valuation of CDO-tranches in latent factor models. This approach is based on a dual quantization operator which posses an intrinsic stationarity and therefore automatically leads to a second order error bound for the weak approximation. We illustrate the numerical perform...