Positive recurrence of reflecting Brownian motion in three dimensions (Q968783): Difference between revisions

The paper considers a semimartingale reflecting Brownian motion (SRBM) \(Z\) whose state space is the \(d\)-dimensional nonnegative orthant. The data of the process are a drift vector \(\theta \), a nonsingular covariance matrix \(\Gamma \), and a \(d \times d\) reflection matrix \(R\) that specifies boundary behavior. In the interior of the orthant, \(Z\) behaves as an ordinary Brownian motion with parameters \(\theta \) and \(\Gamma \), and \(Z\) is pushed in direction \({R^j}\) whenever the boundary surface \(\{ z \in S:{z_j} = 0\} \) is hit, where \({R^j}\) is the \(j\)th column of \(R\). SRBM is said to be positive recurrent, or stable, if the expected time to hit an arbitrary open neighborhood of the origin is finite for every starting state. The authors provide necessary and sufficient conditions for stability of SRBMs in three dimensions; to verify or refute these conditions is a simple computational task. The problem of recurrence classification for SRBMs in four and higher dimensions remains open.