Stationary distribution of reflected O-U process with two-sided barriers

DOI10.1016/j.spl.2008.07.035zbMath1161.60026OpenAlexW2095116003MaRDI QIDQ1003418

Chunmei Jiang, Li-Dong Zhang

Publication date: 4 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.07.035

zbMATH Keywords

stationary distributioninfinitesimal generatorreflected Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Transition functions, generators and resolvents (60J35)

Related Items

The explicit expression of non-trivial stationary distribution of SDEs under regime switching

Cites Work

• Drift rate control of a Brownian processing system
• On the first passage times of reflected O-U processes with two-sided barriers
• Properties of the reflected Ornstein-Uhlenbeck process
• A diffusion approximation for a Markovian queue with reneging
• A multi-dimensional martingale for Markov additive processes and its applications