An invariance principle for semimartingale reflecting Brownian motions in domains with piecewise smooth boundaries

DOI10.1214/105051606000000899zbMath1125.60030arXiv0704.0405OpenAlexW3098270206MaRDI QIDQ2455064

Weining Kang, Ruth J. Williams

Publication date: 22 October 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.0405

zbMATH Keywords

Skorokhod probleminvariance principlestochastic networkssemimartingale reflecting Brownian motionpiecewise smooth domainoscillation inequality

Mathematics Subject Classification ID

Stochastic network models in operations research (90B15) Queueing theory (aspects of probability theory) (60K25) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17)

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Cites Work

• State space collapse and diffusion approximation for a network operating under a fair bandwidth sharing policy
• Reflected Brownian motion on an orthant
• On oblique derivative problems for fully nonlinear second-order elliptic PDE's on domains with corners
• An invariance principle for semimartingale reflecting Brownian motions in an orthant
• Diffusion approximations for open multiclass queueing networks: Sufficient conditions involving state space collapse
• Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant
• A heavy traffic limit theorem for a class of open queueing networks with finite buffers
• SDEs with oblique reflection on nonsmooth domains
• Elliptic Partial Differential Equations of Second Order
• The Relaxation Method for Linear Inequalities
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