LYAPUNOV FUNCTIONS FOR SEMIMARTINGALE REFLECTING BROWNIAN MOTIONS

被引：86

作者：

DUPUIS, P ^{[1
]}

WILLIAMS, RJ ^{[1
]}

机构：

[1] UNIV CALIF SAN DIEGO,DEPT MATH,LA JOLLA,CA 92093

来源：

ANNALS OF PROBABILITY | 1994年 / 22卷 / 02期

关键词：

RECURRENCE; LYAPUNOV FUNCTIONS; SEMIMARTINGALE REFLECTING BROWNIAN MOTIONS; SKOROKHOD PROBLEM; DYNAMICAL SYSTEM; OPTIMAL CONTROL;

D O I：

10.1214/aop/1176988725

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove that a sufficient condition for a semimartingale reflecting Brownian motion in an orthant (SRBM) to be positive recurrent is that all solutions of an associated deterministic Skorokhod problem are attracted to the origin. To prove this result, we construct a Lyapunov function for the SRBM.

引用

页码：680 / 702

页数：23

共 25 条

[1]

Aubin J.P., 1984, DIFFERENTIAL INCLUSI, DOI DOI 10.1007/978-3-642-69512-4

[2]

Bernard A., 1991, Stochastics and Stochastics Reports, V34, P149, DOI 10.1080/17442509108833680

[3] DISCRETE FLOW NETWORKS - BOTTLENECK ANALYSIS AND FLUID APPROXIMATIONS [J].

CHEN, H ;

MANDELBAUM, A .

MATHEMATICS OF OPERATIONS RESEARCH, 1991, 16 (02) :408-446

[4]

DAI JG, 1992, ANN APPL PROBAB, V2, P65

[5]

Dai JG., 1991, ANN APPL PROBAB, V1, P16, DOI [10.1214/aoap/1177005979, DOI 10.1214/AOAP/1177005979]

[6]

DAI JG, 1994, CHARACTERIZATION STA

[7]

Ethier S.N., 2005, MARKOV PROCESSES CHA, Vsecond

[8]

Harrison J. M., 1993, Queueing Systems Theory and Applications, V13, P5, DOI 10.1007/BF01158927

[9]

Harrison J. M., 1987, Stochastics, V22, P77, DOI 10.1080/17442508708833469

[10] RECURRENCE AND TRANSIENCE OF REFLECTING BROWNIAN-MOTION IN THE QUADRANT [J].

HOBSON, DG ;

ROGERS, LCG .

MATHEMATICAL PROCEEDINGS OF THE CAMBRIDGE PHILOSOPHICAL SOCIETY, 1993, 113 :387-399

← 1 2 3 →