Simple Necessary and Sufficient Conditions for the Stability of Constrained Processes

DOI10.1137/S0036139997330222MaRDI QIDQ4258477zbMATH OpenFDO

Authors Paul Dupuis, Amarjit Budhiraja

Publication date 13 September 1999

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0036139997330222

zbMATH Keywords

stabilitylaw of large numbersreflecting Brownian motionSkorokhod problemconstrained ordinary differential equation

Mathematics Subject Classification ID

Stochastic stability in control theory (93E15)

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Cited in

(22)

• Fluid and heavy traffic diffusion limits for a generalized processor sharing model
• Stability of constrained Markov-modulated diffusions
• A differential game formulation of a controlled network
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
• Exit time and invariant measure asymptotics for small noise constrained diffusions
• Positive recurrence for reflecting Brownian motion in higher dimensions
• A time-reversed representation for the tail probabilities of stationary reflected Brownian motion.
• Splitting algorithms for rare events of semimartingale reflecting Brownian motions
• Hidden geometry of bidirectional grid-constrained stochastic processes
• Boundary-influenced robust controls: two network examples
• Sensitivity analysis for diffusion processes constrained to an orthant
• Parameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motions
• On positive recurrence of constrained diffusion processes
• The stability of the deterministic Skorokhod problem is undecidable
• A characterization of the reflected quasipotential
• The heavy traffic limit of an unbalanced generalized processor sharing model
• Long time asymptotics for constrained diffusions in polyhedral domains
• A differential game with constrained dynamics and viscosity solutions of a related HJB equation
• Long-time behavior of finite and infinite dimensional reflected Brownian motions
• Sensitivity analysis for the stationary distribution of reflected Brownian motion in a convex polyhedral cone
• Variational problem in the non-negative orthant of \(\mathbb{R}^{3}\): reflective faces and boundary influence cones

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