The morphing of fluid queues into Markov-modulated Brownian motion

Abstract

Ramaswami showed recently that standard Brownian motion arises as the limit of a family of Markov-modulated linear fluid processes. We pursue this analysis with a fluid approximation for Markov-modulated Brownian motion. Furthermore, we prove that the stationary distribution of a Markov-modulated Brownian motion reflected at zero is the limit from the well-analyzed stationary distribution of approximating linear fluid processes. Key matrices in the limiting stationary distribution are shown to be solutions of a new quadratic equation, and we describe how this equation can be efficiently solved. Our results open the way to the analysis of more complex Markov-modulated processes.

arXiv comment20 page; the material on p7 (version 1) has been removed, and pp.8-9 replaced by Theorem 2.7 and its short proof