Convex duality and the Skorokhod problem. I

From MaRDI portal
Publication:1963835

DOI10.1007/s004400050269zbMath0944.60061OpenAlexW4242344947MaRDI QIDQ1963835

Paul Dupuis, Kavita Ramanan

Publication date: 13 September 2000

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

Full work available at URL: https://doi.org/10.1007/s004400050269




Related Items (38)

Fluid and heavy traffic diffusion limits for a generalized processor sharing modelLarge deviations of Jackson networks.Large deviations and queueing networks: Methods for rate function identificationA two-queue polling model with priority on one queue and heavy-tailed on/off sources: a heavy-traffic limitLong time asymptotics for constrained diffusions in polyhedral domainsExistence, Uniqueness, and Stability of Slowly Oscillating Periodic Solutions for Delay Differential Equations with Nonnegativity ConstraintsOn directional derivatives of Skorokhod maps in convex polyhedral domainsSingular control with state constraints on unbounded domainSplitting Algorithms for Rare Events of Semimartingale Reflecting Brownian MotionsThe Skorohod oblique reflection problem in time-dependent domainsMultiplicative functional for reflected Brownian motion via deterministic ODEConcentration for multidimensional diffusions and their boundary local timesThe inert drift atlas modelA semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with oblique derivatives boundary conditionsPositive recurrence for reflecting Brownian motion in higher dimensionsA Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral DomainsBounds on exponential moments of hitting times for reflected processes on the positive orthantStability and invariant measure asymptotics in a model for heavy particles in rough turbulent flowsOn moment stability properties for a class of state-dependent stochastic networksWeak convergence and fluid limits in optimal time-to-empty queueing control problemsOn the Return Time for a Reflected Fractional Brownian Motion Process on the Positive OrthantCàdlàg rough differential equations with reflecting barriersDeterministic and stochastic differential inclusions with multiple surfaces of discontinuityA differential game formulation of a controlled networkBismut-Elworthy's formula and random walk representation for SDEs with reflectionExit time and invariant measure asymptotics for small noise constrained diffusionsA time-reversed representation for the tail probabilities of stationary reflected Brownian motion.Regulating functions on partially ordered setsA Dirichlet process characterization of a class of reflected diffusionsConcentration of measure for Brownian particle systems interacting through their ranksExplicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strataA Geometric Drift Inequality for a Reflected Fractional Brownian Motion Process on the Positive OrthantStability and paracontractivity of discrete linear inclusionsSensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral ConeFractional Brownian heavy traffic approximations of multiclass feedforward queueing networksA differential game with constrained dynamics and viscosity solutions of a related HJB equationLipschitz continuity of polyhedral Skorokhod mapsDistribution and pressure of active Lévy swimmers under confinement




This page was built for publication: Convex duality and the Skorokhod problem. I