Optimal Paths in Large Deviations of Symmetric Reflected Brownian Motion in the Octant
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Publication:5168866
DOI10.1214/12-SSY082zbMath1323.60046arXiv1208.1971MaRDI QIDQ5168866
Publication date: 21 July 2014
Full work available at URL: https://arxiv.org/abs/1208.1971
Brownian motion (60J65) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Large deviations (60F10) Existence of optimal solutions to problems involving randomness (49J55)
Related Items (3)
Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions ⋮ A multi-dimensional SRBM: geometric views of its product form stationary distribution ⋮ Tail asymptotics in any direction of the stationary distribution in a two-dimensional discrete-time QBD process
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