Recurrence and transience of reflecting Brownian motion in the quadrant
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Publication:5288387
DOI10.1017/S0305004100076040zbMath0776.60100OpenAlexW2106424453MaRDI QIDQ5288387
L. C. G. Rogers, David G. Hobson
Publication date: 24 November 1993
Published in: Mathematical Proceedings of the Cambridge Philosophical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0305004100076040
Related Items (19)
On positive recurrence of constrained diffusion processes ⋮ Reflected Brownian motion in the quadrant: Tail behavior of the stationary distribution ⋮ Degenerate competing three-particle systems ⋮ Probability of total domination for transient reflecting processes in a quadrant ⋮ A new family of positive recurrent semimartingale reflecting Brownian motions in an orthant ⋮ Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions ⋮ Green's functions with oblique Neumann boundary conditions in the quadrant ⋮ Tutte’s invariant approach for Brownian motion reflected in the quadrant ⋮ Variational problem in the non-negative orthant of \(\mathbb{R}^{3}\): reflective faces and boundary influence cones ⋮ Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution ⋮ Diffusions with rank-based characteristics and values in the nonnegative quadrant ⋮ Stationary distribution of a two-dimensional SRBM: geometric views and boundary measures ⋮ Reflecting random walks in curvilinear wedges ⋮ Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant ⋮ Multidimensional random walk with reflections ⋮ Sur la récurrence positivedu mouvement brownien réflechidans l'orthant positif de ⋮ Integral expression for the stationary distribution of reflected Brownian motion in a wedge ⋮ A sufficient condition for the positive recurrence of a semimartingale reflecting Brownian motion in an orthant ⋮ A dual skew symmetry for transient reflected Brownian motion in an orthant
Cites Work
- Recurrence classification and invariant measure for reflected Brownian motion in a wedge
- Ergodicity conditions for two-dimensional Markov chains on the positive quadrant
- Classification of coharmonic and coinvariant functions for a Levy process
- Reflected Brownian motion on an orthant
- Multidimensional reflected Brownian motions having exponential stationary distributions
- A Guided Tour through Excursions
- Brownian motion in a wedge with oblique reflection
- Stochastic differential equations with reflecting boundary conditions
- Brownian models of open queueing networks with homogeneous customer populations∗
- The ergodic behaviour of random walks
- Fluctuation theory in continuous time
- On the Stochastic Matrices Associated with Certain Queuing Processes
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