Skorokhod Reflection Problem for Delayed Brownian Motion with Applications to Fractional Queues.
Giacomo AscioneNikolai LeonenkoEnrica PirozziPublished in: Symmetry (2022)
Keyphrases
- brownian motion
- queue length
- stochastic differential equations
- heavy traffic
- optimal stopping
- queueing networks
- stochastic process
- differential equations
- steady state
- diffusion process
- optimal control
- single server
- poisson process
- vector valued
- stochastic processes
- arrival rate
- stationary distribution
- state dependent
- service times
- closed form solutions
- lead time
- markov chain
- special case
- inventory level