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

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  • Dupuis, Paul
  • Ramanan, Kavita

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

Suggested Citation

  • 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.
    • Handle: RePEc:eee:spapps:v:98:y:2002:i:2:p:253-287
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    References listed on IDEAS

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    1. ,, 2000. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 16(2), pages 287-299, April.
    2. Martin I. Reiman, 1984. "Open Queueing Networks in Heavy Traffic," Mathematics of Operations Research, INFORMS, vol. 9(3), pages 441-458, August.
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    Cited by:

    1. Masakiyo Miyazawa, 2011. "Light tail asymptotics in multidimensional reflecting processes for queueing networks," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(2), pages 233-299, December.
    2. Biswas, Anup & Budhiraja, Amarjit, 2011. "Exit time and invariant measure asymptotics for small noise constrained diffusions," Stochastic Processes and their Applications, Elsevier, vol. 121(5), pages 899-924.
    3. 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.

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