an:01300856
Zbl 0932.60002
Fayolle, Guy; Iasnogorodski, Roudolf; Malyshev, Vadim
Random walks in the quarter-plane. Algebraic methods, boundary value problems and applications
EN
Applications of Mathematics. 40. Berlin: Springer. xvi, 160 p. (1999).
00445926
1999
b
60-02 60G50 30D05 35Q15 30F10 60K25
random walks; boundary value problems; integral equations; queueing; Wiener-Hopf equations
From the authors' introduction: ``Two-dimensional random walks in domains with non-smooth boundaries are encountered in pure probabilistic problems, as well as in applications involving queueing theory. This monograph aims at promoting original mathematical methods to determine the invariant measure of such processes. Moreover, these methods can also be employed to characterize the transient behavior.''
Contents of the book: Chapter 1 and the Section 2.1 contain some material necessary for the rest of the book and it is explained how the functional equations appear and why they bring complete knowledge about the initial problem. In Section 2.2 it is presented the restriction of the functional equation to the algebraic curve which is studied in Sections 2.3 and 2.5. The notion of the group of the random walk is introduced in Section 2.4. Chapter 3 is exclusively devoted to the analytic continuation of the unknown functions. The subject of Chapter 4 is to present the algebraic theory for solving the fundamental equations when the group of the random walk is finite. The case of an arbitrary group is made in Chapter 5, by reduction to a Riemann-Hilbert boundary value problem in the complex plane. Chapter 6 concerns degenerate but practically important cases, when the genus of the algebraic curve is zero. Some related problems and ideas like the asymptotic behaviour of the probability distribution are discussed in the final Chapter 7.
G.Opri??an (Bucure??ti)