On the Generalized Drift Skorokhod Problem in One Dimension

DOI10.1239/JAP/1363784421MaRDI QIDQ4918558zbMATH OpenOpenAlexFDO

Authors Josh Reed, Amy R. Ward, Dongyuan Zhan

Publication date 25 April 2013

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

Full work available at URL https://projecteuclid.org/euclid.jap/1363784421

zbMATH Keywords

abandonmentqueueingreflected Ornstein-Uhlenbeck processSkorokhod map

Mathematics Subject Classification ID

Sample path properties (60G17) Diffusion processes (60J60) Stochastic network models in operations research (90B15) Queues and service in operations research (90B22)

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Cites work

• A diffusion approximation for a GI/GI/1 queue with balking or reneging
• A diffusion approximation for a Markovian queue with reneging
• A duality relation for entrance and exit laws for Markov processes
• An explicit formula for the Skorokhod map on \([0,a]\)
• Continuous-time monotone stochastic recursions and duality
• Double Skorokhod Map and Reneging Real-Time Queues
• scientific article; zbMATH DE number 3736754 (Why is no real title available?)
• scientific article; zbMATH DE number 3342557 (Why is no real title available?)
• Improving service by informing customers about anticipated delays
• Integral representation of Skorokhod reflection
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
• On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary
• On the time-dependent moments of Markovian queues with reneging
• Properties of the reflected Ornstein-Uhlenbeck process
• Reflected Brownian motion on an orthant
• Reflected diffusions defined via the extended Skorokhod map
• Reflexion discontinue et systèmes stochastiques
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Simulation run lengths to estimate blocking probabilities
• Stochastic differential equations with reflecting boundary condition in convex regions
• The Skorokhod problem in a time-dependent interval

Cited in

(4)

• Time-varying tandem queues with blocking: modeling, analysis, and operational insights via fluid models with reflection
• On the time-dependent moments of Markovian queues with reneging
• Weak convergence of stochastic integrals with respect to the state occupation measure of a Markov chain
• Dynamic volunteer staffing in multicrop gleaning operations

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