Solutions of Poisson's Equation for Stochastically Monotone Markov Chains

Peter W. Glynn and Alex Infanger

Queueing Models and Service Management, Volume 5, Number 1 (2022).

Stochastically monotone Markov chains arise in many applied domains, especially in the setting of queues and storage systems. Poisson’s equation is a key tool for analyzing additive functionals of such models, such as cumulative sums of waiting times or sums of rewards. In this paper, we show that when the reward function for such a Markov chain is monotone, the solution of Poisson’s equation is monotone. This implies that the value function associated with infinite horizon average reward is monotone in the state when the reward is monotone.