On the rate of convergence to equilibrium for reflected Brownian motion

DOI10.1007/S11134-018-9574-1MaRDI QIDQ1992149zbMATH OpenOpenAlexWikidataFDO

Authors Peter W. Glynn, Rob J. Wang

Publication date 2 November 2018

Published in Queueing Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11134-018-9574-1

zbMATH Keywords

diffusion processeslarge deviationsqueueing theoryrate of convergence to equilibriumreflected Brownian motionsteady-state simulationtotal variation distance

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Foundations of stochastic processes (60G05) Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25)

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Cited in

(13)

• A broad view of queueing theory through one issue
• Polynomial rate of convergence to the Yaglom limit for Brownian motion with drift
• Convergence rate to equilibrium in Wasserstein distance for reflected jump-diffusions
• Exponential ergodicity and convergence for generalized reflected Brownian motion
• On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process
• Spectral gap and rate of convergence to equilibrium for a class of conditioned Brownian motions
• Parameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motions
• Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
• Rates of convergence to stationarity for reflected Brownian motion
• Dimension-free local convergence and perturbations for reflected Brownian motions
• A heavy-traffic perspective on departure process variability
• Computable bounds on convergence of Markov chains in Wasserstein distance via contractive drift
• A characterization of the reflected quasipotential

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