A time-reversed representation for the tail probabilities of stationary reflected Brownian motion.

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Publication:1766065


DOI10.1016/S0304-4149(01)00151-XzbMath1059.60030MaRDI QIDQ1766065

Paul Dupuis, Kavita Ramanan

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)


60J65: Brownian motion

60F10: Large deviations

49L99: Hamilton-Jacobi theories


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