Long time asymptotics for constrained diffusions in polyhedral domains
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Cites work
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- scientific article; zbMATH DE number 475325 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 850352 (Why is no real title available?)
- A Liapounov bound for solutions of the Poisson equation
- A boundary property of semimartingale reflecting Brownian motions
- An invariance principle for semimartingale reflecting Brownian motions in an orthant
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- Convex duality and the Skorokhod problem. I
- Diffusion approximations for open multiclass queueing networks: Sufficient conditions involving state space collapse
- Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant
- Exponential and uniform ergodicity of Markov processes
- Lyapunov functions for semimartingale reflecting Brownian motions
- Markov chains and stochastic stability
- On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
- On positive recurrence of constrained diffusion processes
- On the Distribution of Multidimensional Reflected Brownian Motion
- Open Queueing Networks in Heavy Traffic
- Reflected Brownian motion on an orthant
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- Stability and convergence of moments for multiclass queueing networks via fluid limit models
- Stability of Markovian processes II: continuous-time processes and sampled chains
Cited in
(32)- Stability of constrained Markov-modulated diffusions
- Pathwise differentiability of reflected diffusions in convex polyhedral domains
- Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
- Exit time and invariant measure asymptotics for small noise constrained diffusions
- Join-the-shortest queue diffusion limit in Halfin-Whitt regime: tail asymptotics and scaling of extrema
- Optimal pricing barriers in a regulated market using reflected diffusion processes
- Bounds on exponential moments of hitting times for reflected processes on the positive orthant
- The inert drift atlas model
- Diffusion models and steady-state approximations for exponentially ergodic Markovian queues
- On pricing barrier control in a regime-switching regulated market
- Dimension-free local convergence and perturbations for reflected Brownian motions
- Domains of attraction of invariant distributions of the infinite atlas model
- Splitting algorithms for rare events of semimartingale reflecting Brownian motions
- Nadaraya-Watson estimators for reflected stochastic processes
- Extremal invariant distributions of infinite Brownian particle systems with rank dependent drifts
- Parameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motions
- A geometric drift inequality for a reflected fractional Brownian motion process on the positive orthant
- Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
- On positive recurrence of constrained diffusion processes
- On the return time for a reflected fractional Brownian motion process on the positive orthant
- Point-to-line last passage percolation and the invariant measure of a system of reflecting Brownian motions
- Join-the-shortest queue diffusion limit in Halfin-Whitt regime: sensitivity on the heavy-traffic parameter
- Exponential ergodicity and convergence for generalized reflected Brownian motion
- On moment stability properties for a class of state-dependent stochastic networks
- Inert drift system in a viscous fluid: steady state asymptotics and exponential ergodicity
- Long-time behavior of finite and infinite dimensional reflected Brownian motions
- Convergence rates for rank-based models with applications to portfolio theory
- Sensitivity analysis for the stationary distribution of reflected Brownian motion in a convex polyhedral cone
- Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations
- Airy process with wanderers, KPZ fluctuations, and a deformation of the Tracy-Widom GOE distribution
- Ergodic control of resource sharing networks: lower bound on asymptotic costs
- Rates of convergence to stationarity for reflected Brownian motion
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