Limit theorems for reflected Ornstein-Uhlenbeck processes
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Cites work
- A diffusion approximation for a GI/GI/1 queue with balking or reneging
- A diffusion approximation for a Markovian queue with reneging
- Fluctuations in Markov processes. Time symmetry and martingale approximation.
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- Large deviations analysis of reflected diffusions and constrained stochastic approximation algorithms in convex sets†
- Martingales: Recent Developments, Results and Applications
- On the dynamics of a finite buffer queue conditioned on the amount of loss
- On the reflected Ornstein-Uhlenbeck process with catastrophes
- On the transition densities for reflected diffusions
- Properties of the reflected Ornstein-Uhlenbeck process
- Simulation run lengths to estimate blocking probabilities
- Small Random perturbation of dynamical systems with reflecting boundary
- Stochastic differential equations with reflecting boundary condition in convex regions
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