A boundary property of semimartingale reflecting Brownian motions

DOI10.1007/BF01848132zbMath0617.60081MaRDI QIDQ1822143

Martin I. Reiman, Ruth J. Williams

Publication date: 1988

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

queueing networksreflecting Brownian motionssemimartingalesemimartingale decomposition

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Sample path properties (60G17)

Related Items (52)

Fluid and heavy traffic diffusion limits for a generalized processor sharing model ⋮ Heavy traffic limits for some queueing networks ⋮ Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant ⋮ On semimonotone matrices with nonnegative principal minors ⋮ Weak convergence of obliquely reflected diffusions ⋮ Reflected Brownian motion in the quadrant: Tail behavior of the stationary distribution ⋮ Long time asymptotics for constrained diffusions in polyhedral domains ⋮ Degenerate competing three-particle systems ⋮ Stability of Constrained Markov-Modulated Diffusions ⋮ Brownian models of closed queueing networks with homogeneous customer populations ⋮ A new family of positive recurrent semimartingale reflecting Brownian motions in an orthant ⋮ Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution ⋮ Brownian models of open queueing networks with homogeneous customer populations^∗ ⋮ Light tail asymptotics in multidimensional reflecting processes for queueing networks ⋮ Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains ⋮ A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains ⋮ Infinite systems of competing Brownian particles ⋮ Boundary behavior and product-form stationary distributions of jump diffusions in the orthant with state-dependent reflections ⋮ Explicit semimartingale representation of Brownian motion in a wedge ⋮ Diffusions with rank-based characteristics and values in the nonnegative quadrant ⋮ Convergence rates for rank-based models with applications to portfolio theory ⋮ Strong solutions of stochastic equations with rank-based coefficients ⋮ Competing particle systems evolving by interacting Lévy processes ⋮ On Constrained Langevin Equations and (Bio)Chemical Reaction Networks ⋮ A multi-dimensional SRBM: geometric views of its product form stationary distribution ⋮ Brownian Motion in a Wedge with Variable Skew Reflection ⋮ Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant ⋮ Generalizations of the hidden Minkowski property ⋮ Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions ⋮ A LINEAR PROGRAMMING APPROACH TO THE STEADY-STATE ANALYSIS OF REFLECTED BROWNIAN MOTION ⋮ Existence and characterization of product-form invariant distributions for state-dependent stochastic networks in the heavy-traffic diffusion limit ⋮ Positive recurrence of reflecting Brownian motion in three dimensions ⋮ A class of polynomially solvable linear complementarity problems ⋮ On product-form stationary distributions for reflected diffusions with jumps in the positive orthant ⋮ Decomposable stationary distribution of a multidimensional SRBM ⋮ Regulations dÉterminates et stochastiques dans le premier “orthant” de R^N ⋮ Sur la récurrence positivedu mouvement brownien réflechidans l'orthant positif de ⋮ State-space collapse in stationarity and its application to a multiclass single-server queue in heavy traffic ⋮ Characterization of stationary distributions of reflected diffusions ⋮ Hitting time of a corner for a reflected diffusion in the square ⋮ Brownian models of multiclass queueing networks: Current status and open problems ⋮ Nonexistence of Brownian models for certain multiclass queueing networks ⋮ Diffusion approximation for a heavily loaded multi-user wireless communication system with cooperation ⋮ Integral expression for the stationary distribution of reflected Brownian motion in a wedge ⋮ Optimal Paths in Large Deviations of Symmetric Reflected Brownian Motion in the Octant ⋮ A sufficient condition for the positive recurrence of a semimartingale reflecting Brownian motion in an orthant ⋮ Numerical approximations for stochastic systems with delays in the state and control ⋮ A differential game with constrained dynamics and viscosity solutions of a related HJB equation ⋮ A dual skew symmetry for transient reflected Brownian motion in an orthant ⋮ Two limit theorems for queueing systems around the convergence of stochastic integrals with respect to renewal processes ⋮ Multidimensional sticky Brownian motions as limits of exclusion processes ⋮ Kernel Method for Stationary Tails: From Discrete to Continuous

Cites Work

• Unnamed Item
• Reflected Brownian motion on an orthant
• Some generalizations of positive definiteness and monotonicity
• Open Queueing Networks in Heavy Traffic
• Stochastic differential equations with reflecting boundary conditions
• Brownian models of open queueing networks with homogeneous customer populations^∗
• Completely- matrices

This page was built for publication: A boundary property of semimartingale reflecting Brownian motions