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

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  • Zhang, Lidong
  • Jiang, Chunmei

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.

Suggested Citation

  • Zhang, Lidong & Jiang, Chunmei, 2009. "Stationary distribution of reflected O-U process with two-sided barriers," Statistics & Probability Letters, Elsevier, vol. 79(2), pages 177-181, January.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:2:p:177-181
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    Cited by:

    1. Angelos Aveklouris & Maria Vlasiou & Bert Zwart, 2019. "Bounds and limit theorems for a layered queueing model in electric vehicle charging," Queueing Systems: Theory and Applications, Springer, vol. 93(1), pages 83-137, October.
    2. Behme, Anita & Di Tella, Paolo & Sideris, Apostolos, 2024. "On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein–Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 174(C).
    3. Qingpei Zang & Lixin Zhang, 2019. "Asymptotic Behaviour of the Trajectory Fitting Estimator for Reflected Ornstein–Uhlenbeck Processes," Journal of Theoretical Probability, Springer, vol. 32(1), pages 183-201, March.

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