Reflected Brownian motion in the quarter plane: an equivalence based on time reversal

DOI10.1016/J.SPA.2021.12.003MaRDI QIDQ2145824zbMATH OpenOpenAlexFDO

Authors J. Michael Harrison

Publication date 20 June 2022

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

Full work available at URL https://doi.org/10.1016/j.spa.2021.12.003

zbMATH Keywords

diffusion approximationheavy trafficreflected Brownian motionqueueing networkreflection mapping

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65)

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Cites work

• scientific article; zbMATH DE number 786517 (Why is no real title available?)
• Brownian models of open queueing networks with homogeneous customer populations^∗
• Brownian models of performance and control
• Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant
• Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant
• Integral expression for the stationary distribution of reflected Brownian motion in a wedge
• Nonnegativity of solutions to the basic adjoint relationship for some diffusion processes
• On the Distribution of Multidimensional Reflected Brownian Motion
• Open Queueing Networks in Heavy Traffic
• Reflected Brownian motion in an orthant: Numerical methods for steady- state analysis
• Reflected Brownian motion on an orthant
• The QNET method for two-moment analysis of closed manufacturing systems
• The diffusion approximation for tandem queues in heavy traffic
• The stationary distribution of reflected Brownian motion in a planar region
• Tutte's invariant approach for Brownian motion reflected in the quadrant

Cited in

(14)

• A dual skew symmetry for transient reflected Brownian motion in an orthant
• Reflecting Brownian motion in two dimensions: exact asymptotics for the stationary distribution
• Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant
• Structure-reversibility of a two-dimensional reflecting random walk and its application to queueing network
• An occupation time identity for reflecting Brownian motion with drift
• Stationary Brownian motion in a \(3 / 4\)-plane: reduction to a Riemann-Hilbert problem via Fourier transforms
• The competition number of a graph whose holes do not overlap much
• Reflected Brownian motion with skew symmetric data in a polyhedral domain
• A time-reversed representation for the tail probabilities of stationary reflected Brownian motion.
• Stationary distribution of a two-dimensional SRBM: geometric views and boundary measures
• Multidimensional reflected Brownian motions having exponential stationary distributions
• scientific article; zbMATH DE number 4066076 (Why is no real title available?)
• Reflected Brownian motion in a wedge: sum-of-exponential absorption probability at the vertex and differential properties
• Reflected Brownian motion in an orthant: Numerical methods for steady- state analysis

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