Reflected Brownian motion in an orthant: Numerical methods for steady- state analysis
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Probabilistic methods, stochastic differential equations (65C99) Applications to the sciences (65Z05) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)
The paper is concerned with the reflected Brownian motion (RBM). More precisely, there are two developed techniques for numerical analysis, of a semimartingale RBM (SRBM) having as state space the nonnegative orthant of an \(n\)-dimensional Euclidean space. This paper presents a characterization of the SRBM stationary distribution. It is also proposed a general method for computing this stationary distribution. Remarks concerning the implementation of the algorithm and some numerical comparisons with known results are given, too. This very interesting method has been applied for analysing queueing systems.
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