The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes

DOI10.1239/jap/1253279847zbMath1196.60158OpenAlexW2072356535MaRDI QIDQ3182427

Xiao-yu Xing, Wei Zhang, Yong Jin Wang

Publication date: 8 October 2009

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

Full work available at URL: https://doi.org/10.1239/jap/1253279847

zbMATH Keywords

stationary distributionreflected processMarkov-modulated processOrnstein--Uhlenbeck process

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (13)

Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process ⋮ Parameter estimation for generalized diffusion processes with reflected boundary ⋮ Stability of Constrained Markov-Modulated Diffusions ⋮ Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals ⋮ A note on transition density for the reflected Ornstein-Uhlenbeck process ⋮ Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes ⋮ Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes ⋮ Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations ⋮ A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes ⋮ Markov-modulated Ornstein–Uhlenbeck processes ⋮ Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes ⋮ Bounds and limit theorems for a layered queueing model in electric vehicle charging ⋮ On pricing barrier control in a regime-switching regulated market

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Properties of the reflected Ornstein-Uhlenbeck process
• A diffusion approximation for a Markovian queue with reneging
• On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
• A diffusion approximation for a GI/GI/1 queue with balking or reneging
• Linear diffusion with stationary switching regime
• Simulation run lengths to estimate blocking probabilities
• Lévy Processes and Stochastic Calculus
• Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
• Tail of a linear diffusion with Markov switching

This page was built for publication: The Stationary Distributions of Two Classes of Reflected Ornstein–Uhlenbeck Processes