Reflecting Brownian motion in two dimensions: Exact asymptotics for the stationary distribution
We consider a two-dimensional semimartingale reflecting Brownian motion (SRBM) in the nonnegative quadrant. The data of the SRBM consists of a two-dimensional drift vector, a 2 × 2 positive definite covariance matrix, and a 2 × 2 reflection matrix. Assuming the SRBM is positive recurrent, we are int...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute for Operations Research and the Management Sciences (INFORMS)
2011-01-01
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| Series: | Stochastic Systems |
| Subjects: | |
| Online Access: | http://www.i-journals.org/ssy/viewarticle.php?id=22&layout=abstract |