Characterization of stationary distributions of reflected diffusions

DOI10.1214/13-AAP947zbMath1306.60111arXiv1204.4969MaRDI QIDQ2511552

Kavita Ramanan, Weining Kang

Publication date: 6 August 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.4969

zbMATH Keywords

stochastic differential equationsqueueing networksreflected diffusionssubmartingale problemskew-symmetry condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic network models in operations research (90B15) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (20)

An elementary humanomics approach to boundedly rational quadratic models ⋮ Particle representations for stochastic partial differential equations with boundary conditions ⋮ The inert drift atlas model ⋮ Stability and invariant measure asymptotics in a model for heavy particles in rough turbulent flows ⋮ Speculative and hedging interaction model in oil and U.S. dollar markets -- phase transition ⋮ On Constrained Langevin Equations and (Bio)Chemical Reaction Networks ⋮ Spinning Brownian motion ⋮ Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant ⋮ Decomposable stationary distribution of a multidimensional SRBM ⋮ Markov selection for constrained martingale problems ⋮ Metastability in stochastic replicator dynamics ⋮ Exponential ergodicity and convergence for generalized reflected Brownian motion ⋮ Characterization of stationary distributions of reflected diffusions ⋮ Lévy Processes with Two-Sided Reflection ⋮ Bounds and limit theorems for a layered queueing model in electric vehicle charging ⋮ The Limit of Stationary Distributions of Many-Server Queues in the Halfin–Whitt Regime ⋮ Speculative and hedging interaction model in oil and U.S. dollar markets -- long-term investor dynamics and phases ⋮ Sensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral Cone ⋮ Gravitation versus Brownian motion ⋮ Heavy-tailed distributions of volume and price-change resulting from strategy coordination and decision noise

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries
• Reflected diffusions defined via the extended Skorokhod map
• Time-average control of martingale problems: Existence of a stationary solution
• State space collapse and diffusion approximation for a network operating under a fair bandwidth sharing policy
• A Dirichlet process characterization of a class of reflected diffusions
• The Skorokhod problem in a time-dependent interval
• Reflected Brownian motion in a wedge: sum-of-exponential stationary densities
• The stationary distribution of reflected Brownian motion in a planar region
• Recurrence classification and invariant measure for reflected Brownian motion in a wedge
• Reflected Brownian motion with skew symmetric data in a polyhedral domain
• A Skorokhod problem formulation and large deviation analysis of a processor sharing model
• Approximate behavior of tandem queues
• The submartingale problem for Brownian motion in a cone with non-constant oblique reflection
• On reflecting diffusion processes and Skorokhod decompositions
• A construction of reflecting barrier Brownian motions for bounded domains
• Invariant measures and evolution equations for Markov processes characterized via martingale problems
• On the semimartingale representation of reflecting Brownian motion in a cusp
• Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant
• Brownian models of closed queueing networks: Explicit solutions for balanced three-station systems
• Multidimensional reflected Brownian motions having exponential stationary distributions
• A boundary property of semimartingale reflecting Brownian motions
• Multivariate simultaneous approximation
• On positive recurrence of constrained diffusion processes
• Fluid and heavy traffic diffusion limits for a generalized processor sharing model
• A Skorokhod-type lemma and a decomposition of reflected Brownian motion
• Convex duality and the Skorokhod problem. II
• An invariance principle for semimartingale reflecting Brownian motions in domains with piecewise smooth boundaries
• The heavy traffic limit of an unbalanced generalized processor sharing model
• Characterization of stationary distributions of reflected diffusions
• Occupation measures for controlled Markov processes: Characterization and optimality
• Multidimensional diffusion processes.
• Reflecting Brownian Motion in a Cusp
• The adjoint process of a diffusion with reflecting barrier
• Remarks to ``The adjoint process of a diffusion with reflecting barrier
• Brownian motion in a wedge with oblique reflection
• Brownian models of open queueing networks with homogeneous customer populations^∗
• A criterion for invariant measures of markov processes
• Diffusion processes with continuous coefficients, I
• Diffusion processes with boundary conditions
• A multiclass feedback queueing network with a regular Skorokhod problem
• Stationary solutions and forward equations for controlled and singular martingale problems

This page was built for publication: Characterization of stationary distributions of reflected diffusions