Reflecting Brownian motion in three dimensions: a new proof of sufficient conditions for positive recurrence

DOI10.1007/s00186-010-0304-7zbMath1260.60165OpenAlexW2158389934MaRDI QIDQ1935925

J. G. Dai, J. Michael Harrison

Publication date: 20 February 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-010-0304-7

zbMATH Keywords

diffusion approximationheavy trafficfluid modelqueueing networkspositive recurrencereflecting Brownian motionSkorohod problem

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60)

Related Items (7)

Green's functions with oblique Neumann boundary conditions in the quadrant ⋮ Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution ⋮ Positive recurrence for reflecting Brownian motion in higher dimensions ⋮ Positive recurrence of reflecting Brownian motion in three dimensions ⋮ A positive recurrent reflecting Brownian motion with divergent fluid path ⋮ Exponential ergodicity and convergence for generalized reflected Brownian motion ⋮ Integral expression for the stationary distribution of reflected Brownian motion in a wedge

Cites Work

• Unnamed Item
• Positive recurrence for reflecting Brownian motion in higher dimensions
• Positive recurrence of reflecting Brownian motion in three dimensions
• Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant
• Lyapunov functions for semimartingale reflecting Brownian motions
• On the stability of the linear Skorokhod problem in an orthant
• A sufficient condition for the positive recurrence of a semimartingale reflecting Brownian motion in an orthant
• Regulations dÉterminates et stochastiques dans le premier “orthant” de R^N

This page was built for publication: Reflecting Brownian motion in three dimensions: a new proof of sufficient conditions for positive recurrence