Transient behavior of regulated Brownian motion, II: Non-zero initial conditions

DOI10.2307/1427409zbMATH Open0628.60084OpenAlexW4229534843MaRDI QIDQ3764985FDOQ3764985

Authors: Joseph Abate, Ward Whitt 

Publication date: 1987

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

Full work available at URL: https://doi.org/10.2307/1427409

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zbMATH Keywords

couplinginverse Gaussian distributionfirst-passage timerelaxation timesmixtures of exponentialsfitting distribution by matching moments

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65)

Cited In (24)

• Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum
• Simple spectral representations for the M/M/1 queue
• On the rate of convergence to equilibrium for reflected Brownian motion
• Transient behavior of the M/M/1 queue: Starting at the origin
• On the transition densities for reflected diffusions
• Sojourns of fractional Brownian motion queues: transient asymptotics
• Large deviations for the boundary local time of doubly reflected Brownian motion
• Heavy traffic limits for queues with non-stationary path-dependent arrival processes
• On the time-dependent behavior of preemptive single-server queueing systems with Poisson arrivals
• A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
• State-dependent stochastic networks. I: Approximation and applications with continuous diffusion limits
• Factorization identities for reflected processes, with applications
• Transient behaviors of single-server queues with diffusive rates
• Transient error approximation in a Lévy queue
• The heavy traffic limit of a class of Markovian queueing models
• One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem
• Some integral functionals of reflected SDEs and their applications in finance
• A new look at transient versions of Little's law, and M/G/1 preemptive last-come-first-served queues
• Transient behavior of regulated Brownian motion, I: Starting at the origin
• A note on stability in distribution of Markov-modulated stochastic differential equations with reflection
• Large finite population queueing systems: The single-server model
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance
• A time-dependent study of the knockout queue
• On the time-dependent moments of Markovian queues with reneging

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