Exponential ergodicity and convergence for generalized reflected Brownian motion
Probability
2019-06-18 v2
Abstract
In this paper we provide convergence analysis for a class of Brownian queues in tandem by establishing an exponential drift condition. A consequence is the uniform exponential ergodicity for these multidimensional diffusions, including the O'Connell-Yor process. A list of open problems are also presented.
Cite
@article{arxiv.1806.03755,
title = {Exponential ergodicity and convergence for generalized reflected Brownian motion},
author = {Wenpin Tang},
journal= {arXiv preprint arXiv:1806.03755},
year = {2019}
}
Comments
17 pages. This paper is published by https://link.springer.com/article/10.1007%2Fs11134-019-09610-5