Limit theorems for reflected Ornstein-Uhlenbeck processes

DOI10.1111/STAN.12021zbMATH Open1541.60059MaRDI QIDQ6552779

Gang Huang, Peter Spreij, Michel Mandjes

Publication date: 10 June 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

reflectionlarge deviationscentral limit theoremsOrnstein-Uhlenbeck processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Large deviations (60F10)

Cites Work

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• Properties of the reflected Ornstein-Uhlenbeck process
• A diffusion approximation for a Markovian queue with reneging
• A diffusion approximation for a GI/GI/1 queue with balking or reneging
• Martingales: Recent Developments, Results and Applications
• Small Random perturbation of dynamical systems with reflecting boundary
• Simulation run lengths to estimate blocking probabilities
• Large deviations analysis of reflected diffusions and constrained stochastic approximation algorithms in convex sets^†
• Fluctuations in Markov Processes
• On the transition densities for reflected diffusions

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