Stationary distribution of reflected O-U process with two-sided barriers

In this paper, we develop a one-sided reflected Ornstein-Uhlenbeck process proposed by Ward and Glynn [Ward, A., Glynn, P., 2003. A diffusion approximation for Markovian queue with reneging. Queueing Systems 43, 103-128] and explore the reflected process with two-sided barriers. Consequently the stationary distribution of the process is derived by Markovian infinitesimal generator argument.

MoreLess

Year of publication:	2009
Authors:	Zhang, Lidong ; Jiang, Chunmei
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 2, p. 177-181
Publisher:	Elsevier

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259037