Simple Necessary and Sufficient Conditions for the Stability of Constrained Processes

DOI10.1137/S0036139997330222zbMATH Open0934.93068MaRDI QIDQ4258477FDOQ4258477

Amarjit Budhiraja, Paul Dupuis

Publication date: 13 September 1999

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

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zbMATH Keywords

stabilitylaw of large numbersreflecting Brownian motionSkorokhod problemconstrained ordinary differential equation

Mathematics Subject Classification ID

Stochastic stability in control theory (93E15)

Cited In (20)

• Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions
• Fluid and heavy traffic diffusion limits for a generalized processor sharing model
• Stability of constrained Markov-modulated diffusions
• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• A differential game formulation of a controlled network
• 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.
• Sensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral Cone
• Hidden geometry of bidirectional grid-constrained stochastic processes
• Boundary-influenced robust controls: two network examples
• Parameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motions
• On positive recurrence of constrained diffusion processes
• 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
• Long-time behavior of finite and infinite dimensional reflected Brownian motions
• A differential game with constrained dynamics and viscosity solutions of a related HJB equation
• Variational problem in the non-negative orthant of \(\mathbb{R}^{3}\): reflective faces and boundary influence cones

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