Properties of the reflected Ornstein-Uhlenbeck process
From MaRDI portal
Publication:1404240
DOI10.1023/A:1024403704190zbMath1026.60106MaRDI QIDQ1404240
Publication date: 21 August 2003
Published in: Queueing Systems (Search for Journal in Brave)
diffusion approximation; Ornstein-Uhlenbeck process; maximum process; steady-state; reflecting diffusion; level crossing time; transient moment
60K25: Queueing theory (aspects of probability theory)
90B22: Queues and service in operations research
60J60: Diffusion processes
Related Items
First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers, On the Generalized Drift Skorokhod Problem in One Dimension, On the transition densities for reflected diffusions, Properties of the first passage times of the reflected O-U process with a two-sided barrier, On scheduling a multiclass queue with abandonments under general delay costs, On the time-dependent moments of Markovian queues with reneging, On the reflected Ornstein-Uhlenbeck process with catastrophes, Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes, A note on transition density for the reflected Ornstein-Uhlenbeck process, On the densities of certain bounded diffusion processes, A note on stability in distribution of Markov-modulated stochastic differential equations with reflection, Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes, On the first passage times of reflected O-U processes with two-sided barriers, Estimation for queues from queue length data, Stationary distribution of reflected O-U process with two-sided barriers, The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers, Queues in tandem with customer deadlines and retrials, First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps, A diffusion approximation for a GI/GI/1 queue with balking or reneging, Sample path moderate deviations for the cumulative fluid produced by an increasing number of exponential on-off sources, Some integral functionals of reflected SDEs and their applications in finance, The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes
