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Semimartingale reflecting Brownian motions (SRBMs) are diffusion processes with the \(d\)-dimensional nonnegative orthant as their state space, in the interior of which the processes evolve according to a Brownian motion, and that are reflected at the boundary in a specified manner. The paper investigates necessary and sufficient conditions for the positive recurrence of SRBMs. The answer is already known for \(d = 2\) and \(d=3\). For \(d = 3\), they were shown to be equivalent to the attraction to the origin of fluid paths associated with SRBMs. These fluid paths are solutions of deterministic equations corresponding to the random equations of the SRBMs. The paper provides a family of counterexamples which shows that this equivalence fails for \(d = 6\). | |||
Property / review text: Semimartingale reflecting Brownian motions (SRBMs) are diffusion processes with the \(d\)-dimensional nonnegative orthant as their state space, in the interior of which the processes evolve according to a Brownian motion, and that are reflected at the boundary in a specified manner. The paper investigates necessary and sufficient conditions for the positive recurrence of SRBMs. The answer is already known for \(d = 2\) and \(d=3\). For \(d = 3\), they were shown to be equivalent to the attraction to the origin of fluid paths associated with SRBMs. These fluid paths are solutions of deterministic equations corresponding to the random equations of the SRBMs. The paper provides a family of counterexamples which shows that this equivalence fails for \(d = 6\). / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Oleg K. Zakusilo / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J65 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J60 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60K25 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 68M20 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 90B15 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 5925658 / rank | |||
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Property / zbMATH Keywords | |||
reflecting Brownian motion | |||
Property / zbMATH Keywords: reflecting Brownian motion / rank | |||
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fluid model | |||
Property / zbMATH Keywords: fluid model / rank | |||
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queueing networks | |||
Property / zbMATH Keywords: queueing networks / rank | |||
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Property / zbMATH Keywords | |||
heavy traffic limits | |||
Property / zbMATH Keywords: heavy traffic limits / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1010.1751 / rank | |||
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Property / cites work | |||
Property / cites work: Stability of queueing networks / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 07:51, 4 July 2024
scientific article
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English | A positive recurrent reflecting Brownian motion with divergent fluid path |
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A positive recurrent reflecting Brownian motion with divergent fluid path (English)
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19 July 2011
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Semimartingale reflecting Brownian motions (SRBMs) are diffusion processes with the \(d\)-dimensional nonnegative orthant as their state space, in the interior of which the processes evolve according to a Brownian motion, and that are reflected at the boundary in a specified manner. The paper investigates necessary and sufficient conditions for the positive recurrence of SRBMs. The answer is already known for \(d = 2\) and \(d=3\). For \(d = 3\), they were shown to be equivalent to the attraction to the origin of fluid paths associated with SRBMs. These fluid paths are solutions of deterministic equations corresponding to the random equations of the SRBMs. The paper provides a family of counterexamples which shows that this equivalence fails for \(d = 6\).
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reflecting Brownian motion
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fluid model
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queueing networks
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heavy traffic limits
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