Multidimensional Sticky Brownian Motions: Tail Behaviour of the Joint Stationary Distribution
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Publication:6312866
arXiv1901.07529MaRDI QIDQ6312866FDOQ6312866
Hongshuai Dai, Yiqiang Q. Zhao
Publication date: 18 January 2019
Abstract: Sticky Brownian motions, as time-changed semimartingale reflecting Brownian motions, have various applications in many fields, including queuing theory and mathematical finance. In this paper, we are concerned about the stationary distributions of a multidimensional sticky Brownian motion, provided it is stable. We will study the large deviations principle for stationary distribution and the tail behaviour of the joint stationary distribution.
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Queueing theory (aspects of probability theory) (60K25)
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