Stationary distribution of reflected O-U process with two-sided barriers

Lidong Zhang and Chunmei Jiang

Statistics & Probability Letters, 2009, vol. 79, issue 2, 177-181

Abstract: In this paper, we develop a one-sided reflected Ornstein-Uhlenbeck process proposed by Ward and Glynn [Ward, A., Glynn, P., 2003. A diffusion approximation for Markovian queue with reneging. Queueing Systems 43, 103-128] and explore the reflected process with two-sided barriers. Consequently the stationary distribution of the process is derived by Markovian infinitesimal generator argument.

Date: 2009
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Citations: View citations in EconPapers (3)

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