Reflected Brownian motion with drift in a wedge

被引：1

作者：

Lakner, Peter ^{[1
]}

Liu, Ziran ^{[1
]}

Reed, Josh ^{[1
]}

机构：

[1] NYU, Stern Sch Business, Dept Technol Operat & Stat, New York, NY 10012 USA

来源：

QUEUEING SYSTEMS | 2023年 / 105卷 / 3-4期

关键词：

Submartingale problem; Absorbed process; RBM with drift; Markov property; Feller property; DIFFUSION APPROXIMATIONS; QUEUING-NETWORKS; UNIQUENESS; EXISTENCE; DOMAINS; QUEUES; LIMITS;

D O I：

10.1007/s11134-023-09893-9

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

We study reflecting Brownian motion with drift constrained to a wedge in the plane. Our first set of results provides necessary and sufficient conditions for existence and uniqueness of a solution to the corresponding submartingale problem with drift, and show that its solution possesses the Markov and Feller properties. Next, we study a version of the problem with absorption at the vertex of the wedge. In this case, we provide a condition for existence and uniqueness of a solution to the problem and some results on the probability of the vertex being reached.

引用

页码：233 / 270

页数：38

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