Large deviations for multi-dimensional reflected fractional Brownian motion

DOI10.1080/1045112031000155650zbMATH Open1032.60024OpenAlexW1971135809MaRDI QIDQ4440448FDOQ4440448

Authors: K. Majewski 

Publication date: 18 December 2003

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1045112031000155650

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zbMATH Keywords

long-range dependenceBrownian motionsSkorokhod problemheavy traffic model

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Stochastic network models in operations research (90B15)

Cited In (14)

• Large deviation properties of constant rate data streams sharing a buffer with long-range dependent traffic in critical loading
• Functional continuity and large deviations for the behavior of single-class queueing networks
• Sample path moderate deviations for a family of long-range dependent traffic and associated queue length processes
• Large deviations for subordinated fractional Brownian motion and applications
• The moduli of continuity for operator fractional Brownian motion
• Conditional limit theorems for queues with Gaussian input, a weak convergence approach
• Sample path moderate deviations for the cumulative fluid produced by an increasing number of exponential on-off sources
• A geometric drift inequality for a reflected fractional Brownian motion process on the positive orthant
• Asymptotics for Rough Stochastic Volatility Models
• Sample path large deviations for multiclass feedforward queueing networks in critical loading
• Fractional Brownian heavy traffic approximations of multiclass feedforward queueing networks
• Sample path large deviations for a family of long-range dependent traffic and associated queue length processes
• Risk processes with shot noise Cox claim number process and reserve dependent premium rate
• Integral representations and properties of operator fractional Brownian motions

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