Numerical stationary distribution and its convergence for nonlinear stochastic differential equations.
Wei LiuXuerong MaoPublished in: J. Comput. Appl. Math. (2015)
Keyphrases
- stochastic differential equations
- stationary distribution
- brownian motion
- queue length
- markov chain
- maximum a posteriori estimation
- stochastic process
- random walk
- queueing networks
- heavy traffic
- inventory level
- steady state
- transition probabilities
- state dependent
- initial state
- sufficient conditions
- fractional brownian motion
- additive gaussian noise
- service times
- vector valued
- single server
- call center
- closed form solutions