Asymptotic variance parameters for the boundary local times of reflected Brownian motion on a compact interval

DOI10.2307/3214730zbMATH Open0767.60087OpenAlexW2321517627MaRDI QIDQ4031671FDOQ4031671

Authors: R. J. Williams 

Publication date: 1 April 1993

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

Full work available at URL: https://doi.org/10.2307/3214730

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zbMATH Keywords

hitting timelocal timereflected Brownian motionqueue approximationboundary regulator process

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Cited In (13)

• The asymptotic variance rate of the output process of finite capacity birth-death queues
• On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process
• An optimal consumption problem in finite time with a constraint on the ruin probability
• Large deviations for the boundary local time of doubly reflected Brownian motion
• The hitting time density for a reflected Brownian motion
• Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes
• Heavy-Traffic Limit of the GI/GI/1 Stationary Departure Process and Its Variance Function
• Lévy Processes with Two-Sided Reflection
• Title not available (Why is that?)
• On the dynamics of a finite buffer queue conditioned on the amount of loss
• Markov-modulated Brownian motion with two reflecting barriers
• The variance of departure processes: puzzling behavior and open problems
• Two perishable inventory systems with one-way substitution

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