On the rate of convergence to equilibrium for two-sided reflected Brownian motion and for the Ornstein-Uhlenbeck process.
Peter W. GlynnRob J. WangPublished in: Queueing Syst. Theory Appl. (2019)
Keyphrases
- brownian motion
- ornstein uhlenbeck
- heavy traffic
- diffusion process
- stochastic process
- differential equations
- optimal control
- vector valued
- poisson process
- stochastic processes
- queue length
- asymptotically optimal
- arrival rate
- closed form solutions
- image processing
- long run
- anisotropic diffusion
- steady state
- markov chain