Optimal Paths in Large Deviations of Symmetric Reflected Brownian Motion in the Octant

DOI10.1214/12-SSY082zbMath1323.60046arXiv1208.1971MaRDI QIDQ5168866

Ziyu Liang, John J. Hasenbein

Publication date: 21 July 2014

Full work available at URL: https://arxiv.org/abs/1208.1971

zbMATH Keywords

variational problemlarge deviationsoptimal pathssemimartingale reflected Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Large deviations (60F10) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (3)

Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions ⋮ A multi-dimensional SRBM: geometric views of its product form stationary distribution ⋮ Tail asymptotics in any direction of the stationary distribution in a two-dimensional discrete-time QBD process

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