Exponential ergodicity and convergence for generalized reflected Brownian motion

Wenpin Tang ()
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Wenpin Tang: University of California

Queueing Systems: Theory and Applications, 2019, vol. 92, issue 1, No 4, 83-101

Abstract: Abstract In this paper, we provide convergence analysis for a class of Brownian queues in tandem by establishing an exponential drift condition. A consequence is uniform exponential ergodicity for these multidimensional diffusions, including the O’Connell–Yor process. A list of open problems is also presented.

Keywords: Brownian queue; Exponential ergodicity; Foster–Lyapunov stability; O’Connell–Yor process; Reflected Brownian motion; 60H10; 60J60; 60K35 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s11134-019-09610-5

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