Asymptotic variance parameters for the boundary local times of reflected Brownian motion on a compact interval
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Publication:4031671
DOI10.2307/3214730zbMath0767.60087OpenAlexW2321517627MaRDI QIDQ4031671
Publication date: 1 April 1993
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3214730
Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Stochastic integrals (60H05) Local time and additive functionals (60J55)
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The variance of departure processes: puzzling behavior and open problems ⋮ The hitting time density for a reflected Brownian motion ⋮ An optimal consumption problem in finite time with a constraint on the ruin probability ⋮ Heavy-Traffic Limit of the GI/GI/1 Stationary Departure Process and Its Variance Function ⋮ On the dynamics of a finite buffer queue conditioned on the amount of loss ⋮ The asymptotic variance rate of the output process of finite capacity birth-death queues ⋮ Markov-Modulated Brownian Motion with Two Reflecting Barriers ⋮ Lévy Processes with Two-Sided Reflection ⋮ On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process ⋮ Two perishable inventory systems with one-way substitution ⋮ Large deviations for the boundary local time of doubly reflected Brownian motion ⋮ Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes
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