Stability of Constrained Markov-Modulated Diffusions

DOI10.1287/moor.1120.0556zbMath1297.60056OpenAlexW2130448859MaRDI QIDQ2925350

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

Poisson's equationinvariant measuresgeometric ergodicitymoment stabilityreflected diffusionsSkorohod problemswitching diffusionsdiffusions in random environmentsemimartingale reflected Brownian motionheavy traffic approximationsMarkov-modulated diffusions

Mathematics Subject Classification ID

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

Related Items (1)

On pricing barrier control in a regime-switching regulated market

Cites Work

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