Exponential ergodicity and convergence for generalized reflected Brownian motion
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Publication:2281369
Abstract: In this paper we provide convergence analysis for a class of Brownian queues in tandem by establishing an exponential drift condition. A consequence is the uniform exponential ergodicity for these multidimensional diffusions, including the O'Connell-Yor process. A list of open problems are also presented.
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Cited in
(8)- On the rate of convergence to equilibrium for reflected Brownian motion
- On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process
- 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
- On Excursions of Reflecting Brownian Motion
- Brownian motion on \lbrack 0,\infty) with linear drift, reflected at zero: exact asymptotics for ergodic means
- Exploratory HJB equations and their convergence
- Tail probability estimates of continuous-time simulated annealing processes
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