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- Title
Conjectures on tail asymptotics of the marginal stationary distribution for a multidimensional SRBM.
- Authors
Miyazawa, Masakiyo; Kobayashi, Masahiro
- Abstract
We are concerned with the stationary distribution of a d-dimensional semimartingale reflecting Brownian motion on a nonnegative orthant, provided it is stable, and conjecture about the tail decay rate of its marginal distribution in an arbitrary direction. Due to recent studies, the conjecture is true for d=2. We show its validity for the skew symmetric case for a general d.
- Subjects
ASYMPTOTIC distribution; SEMIMARTINGALES (Mathematics); WIENER processes; QUEUEING networks; DISTRIBUTION (Probability theory)
- Publication
Queueing Systems, 2011, Vol 68, Issue 3/4, p251
- ISSN
0257-0130
- Publication type
Article
- DOI
10.1007/s11134-011-9251-0