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arXiv · 1806.03755

Exponential ergodicity and convergence for generalized reflected Brownian motion

Wenpin Tang
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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.

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Wenpin Tang. 2019-06-15. Exponential ergodicity and convergence for generalized reflected Brownian motion. https://doi.org/10.1007/s11134-019-09610-5

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