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
收藏
页码：233 / 270
页数：38
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