Stability of constrained Markov-modulated diffusions

DOI10.1287/MOOR.1120.0556MaRDI QIDQ2925350zbMATH OpenOpenAlexFDO

Authors Xin Liu, Amarjit Budhiraja

Publication date 21 October 2014

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.1120.0556

zbMATH Keywords

invariant measuresgeometric ergodicitymoment stabilityPoisson's equationreflected diffusionsSkorohod problemswitching diffusionsdiffusions in random environmentsemimartingale reflected Brownian motionheavy traffic approximationsMarkov-modulated diffusions

Mathematics Subject Classification ID

Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Continuous-time Markov processes on general state spaces (60J25) Stochastic stability in control theory (93E15)

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Cites work

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Cited in

(6)

• Approximation of the exit probability of a stable Markov modulated constrained random walk
• scientific article; zbMATH DE number 4014286 (Why is no real title available?)
• On pricing barrier control in a regime-switching regulated market
• On stability of the Markov-modulated skew CIR process
• Long time asymptotics for constrained diffusions in polyhedral domains
• Stability properties of constrained jump-diffusion processes

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