Exit time and invariant measure asymptotics for small noise constrained diffusions
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spa.2011.01.006
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Budhiraja, Amarjit & Lee, Chihoon, 2007. "Long time asymptotics for constrained diffusions in polyhedral domains," Stochastic Processes and their Applications, Elsevier, vol. 117(8), pages 1014-1036, August.
- Martin I. Reiman, 1984. "Open Queueing Networks in Heavy Traffic," Mathematics of Operations Research, INFORMS, vol. 9(3), pages 441-458, August.
- Borkar, V. S., 2003. "Dynamic programming for ergodic control with partial observations," Stochastic Processes and their Applications, Elsevier, vol. 103(2), pages 293-310, February.
- Dupuis, Paul & Ramanan, Kavita, 2002. "A time-reversed representation for the tail probabilities of stationary reflected Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 98(2), pages 253-287, April.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Salins, M., 2021. "Systems of small-noise stochastic reaction–diffusion equations satisfy a large deviations principle that is uniform over all initial data," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 159-194.
- Amarjit Budhiraja & Jiang Chen & Sylvain Rubenthaler, 2014. "A Numerical Scheme for Invariant Distributions of Constrained Diffusions," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 262-289, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ernst, Philip A. & Franceschi, Sandro & Huang, Dongzhou, 2021. "Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 634-670.
- Itai Gurvich, 2014. "Validity of Heavy-Traffic Steady-State Approximations in Multiclass Queueing Networks: The Case of Queue-Ratio Disciplines," Mathematics of Operations Research, INFORMS, vol. 39(1), pages 121-162, February.
- Wenpin Tang, 2019. "Exponential ergodicity and convergence for generalized reflected Brownian motion," Queueing Systems: Theory and Applications, Springer, vol. 92(1), pages 83-101, June.
- Amarjit Budhiraja & Jiang Chen & Sylvain Rubenthaler, 2014. "A Numerical Scheme for Invariant Distributions of Constrained Diffusions," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 262-289, May.
- Josh Reed & Yair Shaki, 2015. "A Fair Policy for the G / GI / N Queue with Multiple Server Pools," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 558-595, March.
- Saulius Minkevičius & Igor Katin & Joana Katina & Irina Vinogradova-Zinkevič, 2021. "On Little’s Formula in Multiphase Queues," Mathematics, MDPI, vol. 9(18), pages 1-15, September.
- Mor Armony & Constantinos Maglaras, 2004. "On Customer Contact Centers with a Call-Back Option: Customer Decisions, Routing Rules, and System Design," Operations Research, INFORMS, vol. 52(2), pages 271-292, April.
- Saulius Minkevičius & Edvinas Greičius, 2019. "Heavy Traffic Limits for the Extreme Waiting Time in Multi-phase Queueing Systems," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 109-124, March.
- Beatris Adriana Escobedo-Trujillo & Javier Garrido-Meléndez & Gerardo Alcalá & J. D. Revuelta-Acosta, 2022. "Optimal Control with Partially Observed Regime Switching: Discounted and Average Payoffs," Mathematics, MDPI, vol. 10(12), pages 1-28, June.
- Avi Mandelbaum & Kavita Ramanan, 2010. "Directional Derivatives of Oblique Reflection Maps," Mathematics of Operations Research, INFORMS, vol. 35(3), pages 527-558, August.
- Yamada, Keigo, 1999. "Two limit theorems for queueing systems around the convergence of stochastic integrals with respect to renewal processes," Stochastic Processes and their Applications, Elsevier, vol. 80(1), pages 103-128, March.
- Ward Whitt & Wei You, 2020. "Heavy-traffic limits for stationary network flows," Queueing Systems: Theory and Applications, Springer, vol. 95(1), pages 53-68, June.
- Yongjiang Guo & Yunan Liu & Renhu Pei, 2018. "Functional law of the iterated logarithm for multi-server queues with batch arrivals and customer feedback," Annals of Operations Research, Springer, vol. 264(1), pages 157-191, May.
- Dimitris Bertsimas & David Gamarnik & Alexander Anatoliy Rikun, 2011. "Performance Analysis of Queueing Networks via Robust Optimization," Operations Research, INFORMS, vol. 59(2), pages 455-466, April.
- Borkar, V.S.Vivek S. & Budhiraja, Amarjit, 2004. "A further remark on dynamic programming for partially observed Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 112(1), pages 79-93, July.
- A. B. Dieker & S. Ghosh & M. S. Squillante, 2017. "Optimal Resource Capacity Management for Stochastic Networks," Operations Research, INFORMS, vol. 65(1), pages 221-241, February.
- Minkevicius, Saulius & Steisunas, Stasys, 2003. "A law of the iterated logarithm for global values of waiting time in multiphase queues," Statistics & Probability Letters, Elsevier, vol. 61(4), pages 359-371, February.
- Anatoliy Swishchuk & Nikolaos Limnios, 2021. "Controlled Discrete-Time Semi-Markov Random Evolutions and Their Applications," Mathematics, MDPI, vol. 9(2), pages 1-26, January.
- Maglaras, Constantinos & Van Mieghem, Jan A., 2005. "Queueing systems with leadtime constraints: A fluid-model approach for admission and sequencing control," European Journal of Operational Research, Elsevier, vol. 167(1), pages 179-207, November.
- Ramasubramanian, S., 2006. "An insurance network: Nash equilibrium," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 374-390, April.
More about this item
Keywords
Large deviations; Constrained diffusions; Skorokhod problem; Polyhedral domains; Small noise asymptotics; Exit time; Exponential leveling; Coupling; Split chains; Pseudo-atom; Lyapunov functions; Quasi-potential; Invariant measures;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:121:y:2011:i:5:p:899-924. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.