A time-reversed representation for the tail probabilities of stationary reflected Brownian motion.
From MaRDI portal
Publication:1766065
DOI10.1016/S0304-4149(01)00151-XzbMath1059.60030MaRDI QIDQ1766065
Publication date: 25 February 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Related Items
Exit time and invariant measure asymptotics for small noise constrained diffusions, Archimedes' principle for Brownian liquid, Reflected Brownian motion in the quadrant: Tail behavior of the stationary distribution, Large deviations analysis for distributed algorithms in an ergodic Markovian environment, Large deviations: An introduction to 2007 Abel prize, Sample path large deviations for multiclass feedforward queueing networks in critical loading, Fluid and heavy traffic diffusion limits for a generalized processor sharing model, Light tail asymptotics in multidimensional reflecting processes for queueing networks, Large deviation properties of constant rate data streams sharing a buffer with long-range dependent traffic in critical loading
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The stationary distribution of reflected Brownian motion in a planar region
- Recurrence classification and invariant measure for reflected Brownian motion in a wedge
- Reflected Brownian motion with skew symmetric data in a polyhedral domain
- Heavy traffic approximations of large deviations of feedforward queueing networks
- Reflected Brownian motion on an orthant
- Reflected Brownian motion in an orthant: Numerical methods for steady- state analysis
- Large deviations of the steady-state distribution of reflected processes with applications to queueing systems
- Multidimensional reflected Brownian motions having exponential stationary distributions
- Convex duality and the Skorokhod problem. I
- Convex duality and the Skorokhod problem. II
- Open Queueing Networks in Heavy Traffic
- Regulations dÉterminates et stochastiques dans le premier “orthant” de RN
- A Heavy Traffic Limit Theorem for Networks of Queues with Multiple Customer Types
- Brownian models of open queueing networks with homogeneous customer populations∗
- Simple Necessary and Sufficient Conditions for the Stability of Constrained Processes
- Large Deviations for Queue Lengths at a Multi-Buffered Resource
- On lipschitz continuity of the solution mapping to the skorokhod problem, with applications