The fundamental processes of biological development are governed by multiple signaling molecules that create non-uniform concentration profiles known as morphogen gradients. It is widely believed that the establishment of morphogen gradients is a result of complex processes that involve diffusion and degradation of locally produced signaling molecules. We developed a multi-dimensional discrete-state stochastic approach for investigating the corresponding reaction-diffusion models. It provided a full analytical description for stationary profiles and for important dynamic properties such as local accumulation times, variances, and mean first-passage times. The role of discreteness in developing of morphogen gradients is analyzed by comparing with available continuum descriptions. It is found that the continuum models prediction about multiple time scales near the source region in two-dimensional and three-dimensional systems is not supported in our analysis. Using ideas that view the degradation process as an effective potential, the effect of dimensionality on establishment of morphogen gradients is also discussed. In addition, we investigated how these reaction-diffusion processes are modified with changing the size of the source region.