Properties of the reflected Ornstein-Uhlenbeck process (Q1404240): Difference between revisions
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Latest revision as of 10:33, 30 July 2024
scientific article
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English | Properties of the reflected Ornstein-Uhlenbeck process |
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Properties of the reflected Ornstein-Uhlenbeck process (English)
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21 August 2003
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An Ornstein-Uhlenbeck process with reflection at the origin appearing as an approximating process both for queueing systems with reneging or state-dependent balking and for multiserver loss models is considered. It is shown that both the steady-space and transient behavior of the reflected Ornstein-Uhlenbeck process is reasonably tractable. More specifically, an approximation for its transient moments is provided, a perturbation expansion for its transition density is computed, an approximation for the distribution of level crossing times is given, and the growth rate of the maximum process is established.
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diffusion approximation
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Ornstein-Uhlenbeck process
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reflecting diffusion
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steady-state
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transient moment
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level crossing time
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maximum process
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