Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions

DOI10.1007/s11425-019-1700-2zbMath1480.60245arXiv1806.04660OpenAlexW3194682195MaRDI QIDQ2243570

Hongshuai Dai, Yiqiang Q. Zhao

Publication date: 11 November 2021

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.04660

zbMATH Keywords

kernel methodstationary distributionextreme value distributionqueueing modelsticky Brownian motionexact tail asymptotic

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (1)

Tandem fluid queue with long-range dependent inputs: sticky behaviour and heavy traffic approximation

Uses Software

• CopulaModel

Cites Work

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