A time-reversed representation for the tail probabilities of stationary reflected Brownian motion

Paul Dupuis and Kavita Ramanan

Stochastic Processes and their Applications, 2002, vol. 98, issue 2, 253-287

Abstract: We consider the exponential decay rate of the stationary tail probabilities of reflected Brownian motion X in the N-dimensional orthant having drift b, covariance matrix A, and constraint matrix D. Suppose that the Skorokhod or reflection mapping associated with the matrix D is well-defined and Lipschitz continuous on the space of continuous functions. Under the stability condition D-1b

Keywords: Reflected; Brownian; motion; Large; deviations; Rate; function; Stationary; distribution; Tail; probabilities; Cyclic; trajectories; Skew; symmetry; Product; form; Skorokhod; Map; Skorokhod; Problem; Optimal; control; Time-reversal; Variational; problem; Single-class; networks; Feedforward; networks; Buffer; overflow (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(01)00151-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:98:y:2002:i:2:p:253-287

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().