Asymptotics for the stationary distribution in a discrete‐time two‐dimensional quasi‐birth‐and‐death process

We consider a discrete‐time two‐dimensional process $\{(L_n^{(1)},L_n^{(2)})\}$ on ${\mathbb{Z}}_{+}^2$ with a background process {J n } on a finite set, where individual processes $\{L_n^{(1)}\}$ and $\{L_n^{(2)}\}$ are both skip free. We assume that the joint process $\{Y_n\}=\{(L_n^{(1)},L_n^{(2)},J_n)\}$ is Markovian and that the transition probabilities of the two‐dimensional process $\{(L_n^{(1)},L_n^{(2)})\}$ are modulated depending on the state of the background process {J n }. This modulation is space homogeneous, but the transition probabilities in the inside of ${\mathbb{Z}}_{+}^2$ and those around the boundary faces may be different. We call this process a discrete‐time two‐dimensional quasi‐birth‐and‐death (2D‐QBD) process, and obtain the decay rates of the stationary distribution in the coordinate directions. We also distinguish the case where the stationary distribution asymptotically decays in the exact geometric form, in the coordinate directions.