Optimal paths in large deviations of symmetric reflected Brownian motion in the octant
We study the variational problem that arises from considerationof large deviations for semimartingale reflected Brownian motion (SRBM) in $mathbb{R}^3_+$. Due to the difficulty of the general problem,we consider the case in which the SRBM has <i>rotationallysymmetric</i> parameters. In t...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Institute for Operations Research and the Management Sciences (INFORMS)
2013-01-01
|
| Series: | Stochastic Systems |
| Online Access: | http://www.i-journals.org/ssy/viewarticle.php?id=82&layout=abstract |