Sensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral Cone
Author
Abstract
Suggested Citation
DOI: 10.1287/moor.2020.1076
Download full text from publisher
References listed on IDEAS
- Martin I. Reiman, 1984. "Open Queueing Networks in Heavy Traffic," Mathematics of Operations Research, INFORMS, vol. 9(3), pages 441-458, August.
- Avi Mandelbaum & Kavita Ramanan, 2010. "Directional Derivatives of Oblique Reflection Maps," Mathematics of Operations Research, INFORMS, vol. 35(3), pages 527-558, August.
- William P. Peterson, 1991. "A Heavy Traffic Limit Theorem for Networks of Queues with Multiple Customer Types," Mathematics of Operations Research, INFORMS, vol. 16(1), pages 90-118, February.
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.- 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.
- Martin I. Reiman & Lawrence M. Wein, 1999. "Heavy Traffic Analysis of Polling Systems in Tandem," Operations Research, INFORMS, vol. 47(4), pages 524-534, August.
- Shaler Stidham, 2002. "Analysis, Design, and Control of Queueing Systems," Operations Research, INFORMS, vol. 50(1), pages 197-216, February.
- Hong Chen & Xinyang Shen & David D. Yao, 2002. "Brownian Approximations of Multiclass Open-Queueing Networks," Operations Research, INFORMS, vol. 50(6), pages 1032-1049, December.
- 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.
- Ick-Hyun Nam, 2001. "Dynamic Scheduling for a Flexible Processing Network," Operations Research, INFORMS, vol. 49(2), pages 305-315, April.
- 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.
- Amarjit Budhiraja & Chihoon Lee, 2009. "Stationary Distribution Convergence for Generalized Jackson Networks in Heavy Traffic," Mathematics of Operations Research, INFORMS, vol. 34(1), pages 45-56, February.
- 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.
- Zhen Xu & Jiheng Zhang & Rachel Q. Zhang, 2019. "Instantaneous Control of Brownian Motion with a Positive Lead Time," Mathematics of Operations Research, INFORMS, vol. 44(3), pages 943-965, August.
- David M. Markowitz & Martin I. Reiman & Lawrence M. Wein, 2000. "The Stochastic Economic Lot Scheduling Problem: Heavy Traffic Analysis of Dynamic Cyclic Policies," Operations Research, INFORMS, vol. 48(1), pages 136-154, February.
- I. Venkat Appal Raju & S. Ramasubramanian, 2016. "Risk Diversifying Treaty Between Two Companies with Only One in Insurance Business," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 78(2), pages 183-214, November.
- 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.
- 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.
- Avi Mandelbaum & Kavita Ramanan, 2010. "Directional Derivatives of Oblique Reflection Maps," Mathematics of Operations Research, INFORMS, vol. 35(3), pages 527-558, August.
- David M. Markowitz & Lawrence M. Wein, 2001. "Heavy Traffic Analysis of Dynamic Cyclic Policies: A Unified Treatment of the Single Machine Scheduling Problem," Operations Research, INFORMS, vol. 49(2), pages 246-270, April.
- Kim, Ilhyung, 1998. "Managing variances in manufacturing system design," European Journal of Operational Research, Elsevier, vol. 109(3), pages 571-586, September.
- Saulius MinkeviÄ ius, 2020. "On the law of the iterated logarithm in hybrid multiphase queueing systems," Operations Research and Decisions, Wroclaw University of Science Technology, Faculty of Management, vol. 30(4), pages 57-64.
- 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.
More about this item
Keywords
Primary: 60G17; 90C31; 93B35; secondary: 60H07; 60H10; 65C30; Primary: Probability: Diffusion; Secondary: Inventory/production: Sensitivity analysis; Queues: Diffusion models; reflected Brownian motion; stationary distribution; sensitivity analysis; pathwise derivatives; derivative process; Skorokhod reflection problem; derivative problem; asymptotic coupling method;All these keywords.
JEL classification:
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:inm:ormoor:v:46:y:2021:i:2:p:524-558. 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: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.