A note on stability in distribution of Markov-modulated stochastic differential equations with reflection

DOI10.1016/J.CAMWA.2011.03.088zbMATH Open1222.60040OpenAlexW2095710687MaRDI QIDQ640496FDOQ640496

Authors Chenggui Yuan, Lijun Bo

Publication date 18 October 2011

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2011.03.088

zbMATH Keywords

stability in distributionclosed positive orthantreflected SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability of solutions to ordinary differential equations (34D20) Ordinary differential equations and systems with randomness (34F05) Stochastic stability in control theory (93E15)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• A diffusion approximation for a Markovian queue with reneging
• A reflected diffusion process in a regime-switching environment
• Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
• Diffusion approximation for open state-dependent queueing networks in the heavy traffic situation
• Drift rate control of a Brownian processing system
• Monotonicity properties of multi-dimensional reflected diffusions in random environment and applications
• On the first passage times of reflected O-U processes with two-sided barriers
• Properties of the reflected Ornstein-Uhlenbeck process
• Stability of stochastic differential equations with Markovian switching
• Stochastic differential delay equations with Markovian switching
• The Markov modulated regulated Brownian motion: A second-order fluid flow model of a finite buffer
• Transient behavior of regulated Brownian motion, I: Starting at the origin
• Transient behavior of regulated Brownian motion, II: Non-zero initial conditions

Cited in

(2)

• Stability in distribution of Markov-modulated stochastic differential delay equations with reflection
• On pricing barrier control in a regime-switching regulated market

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