Potentials of skip-free Markov chains

Abstract

Potential theory has important applications in various fields such as physics, finance, and biology. In this paper, we investigate the potentials of two classic types of discrete-time skip-free Markov chains: upward skip-free and downward skip-free Markov chains. The key to deriving these potentials lies in the use of truncation approximation techniques. The results are then applied to GI/M/1 queues and M/G/1 queues, and further extended to continuous-time skip-free Markov chains.

19 pages,2 figures