Diffusions with reflection on an orthant and associated initial-boundary value problems

DOI10.1016/S0196-8858(82)80014-6MaRDI QIDQ789823zbMATH OpenFDO

Authors Ioannis Karatzas

Publication date 1982

Published in Advances in Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0196-8858(82)80014-6

zbMATH Keywords

heavy traffic conditionsopen queueing networksreflection on hyperplanes

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Review text

The abstract of the paper is adequate and I quote A class of diffusion processes with instantaneous reflection on the hyperplanes of an orthant is considered. In the case of constant drift and covariance coefficients, such diffusions arise as limits of properly normalized queue length processes in open queueing networks, under heavy traffic conditions. The directions of the reflection on each hyperplane determine the boundary data in an associated initial-boundary value problem with oblique derivatives for the corresponding Kolmogorov equation. This problem is studied in terms of single layer potentials with densities placed on the hyperplanes of the orthant, and is shown to be equivalent to solving a system of integral equations for those densities. The stochastic representation of the solution is also derived.

Recommendations

• scientific article; zbMATH DE number 3850966
• Reflecting diffusions in an orthant: An introduction
• Forward equations for reflected diffusions with jumps
• scientific article; zbMATH DE number 4174067
• Reflected diffusions defined via the extended Skorokhod map

Cites work

• scientific article; zbMATH DE number 3138396 (Why is no real title available?)
• scientific article; zbMATH DE number 3459377 (Why is no real title available?)
• scientific article; zbMATH DE number 3334738 (Why is no real title available?)
• On the uniqueness of solutions of stochastic differential equations
• Open Queueing Networks in Heavy Traffic
• Propriétés des dérivées tangentielles d'une intégrale de l'équation parabolique
• Propriétés des intégrales de l'équation parabolique normale
• Reflected Brownian motion on an orthant
• Étude de la solution fondamentale de l'équation parabolique

Cited in

(8)

• Forward equations for reflected diffusions with jumps
• Construction and decomposition of reflecting diffusions on Lipschitz domains with Hölder cusps
• Directional derivatives of oblique reflection maps
• scientific article; zbMATH DE number 3850966 (Why is no real title available?)
• scientific article; zbMATH DE number 5123513 (Why is no real title available?)
• scientific article; zbMATH DE number 4878 (Why is no real title available?)
• Reflecting diffusions in an orthant: An introduction
• Reflected diffusions defined via the extended Skorokhod map

This page was built for publication: Diffusions with reflection on an orthant and associated initial-boundary value problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q789823)