On the Return Time for a Reflected Fractional Brownian Motion Process on the Positive Orthant

DOI10.1239/jap/1300198141zbMath1216.60032OpenAlexW2019405447MaRDI QIDQ5391088

Chihoon Lee

Publication date: 5 April 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1300198141

zbMATH Keywords

positive recurrencereflected fractional Brownian motionreturn timeheavy traffic theory

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Queueing theory (aspects of probability theory) (60K25) Self-similar stochastic processes (60G18)

Related Items (max. 100)

Bounds on exponential moments of hitting times for reflected processes on the positive orthant ⋮ On moment stability properties for a class of state-dependent stochastic networks ⋮ Regulated fractionally integrated processes ⋮ A Geometric Drift Inequality for a Reflected Fractional Brownian Motion Process on the Positive Orthant

Cites Work

• Unnamed Item
• A reflected fBm limit for fluid models with ON/OFF sources under heavy traffic
• State space collapse for asymptotically critical multi-class fluid networks
• Reflected Brownian motion on an orthant
• An invariance principle for semimartingale reflecting Brownian motions in an orthant
• State-dependent criteria for convergence of Markov chains
• Lyapunov functions for semimartingale reflecting Brownian motions
• On positive recurrence of constrained diffusion processes
• On positive Harris recurrence of multiclass queueing networks: A unified approach via fluid limit models
• On some maximal inequalities for fractional Brownian motions
• Convex duality and the Skorokhod problem. I
• Convex duality and the Skorokhod problem. II
• Long time asymptotics for constrained diffusions in polyhedral domains
• Stability of Markovian processes II: continuous-time processes and sampled chains
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Regulations dÉterminates et stochastiques dans le premier “orthant” de R^N
• The Malliavin Calculus and Related Topics
• On the Reflected Fractional Brownian Motion Process on the Positive Orthant: Asymptotics for a Maximum with Application to Queueing Networks
• Markov Chains and Stochastic Stability
• Brownian models of open queueing networks with homogeneous customer populations^∗
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications

This page was built for publication: On the Return Time for a Reflected Fractional Brownian Motion Process on the Positive Orthant