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Explicit Solutions for Variational Problems in the Quadrant Florin Avram
 

Summary: Explicit Solutions for Variational Problems in the Quadrant
Florin Avram
Department of Statistics and Actuarial Science
Heriot Watt University
Edinburgh, Scotland
F.Avram@ma.hw.ac.uk
J. G. Dai
School of Industrial and Systems Engineering and School of Mathematics
Georgia Institute of Technology, Atlanta, GA 30332-0205
dai@isye.gatech.edu
John J. Hasenbein
Graduate Program in Operations Research and Industrial Engineering
Department of Mechanical Engineering
The University of Texas at Austin, Austin, TX 78712-1063
jhas@mail.utexas.edu
September 15, 1999
Abstract
We study a variational problem (VP) that is related to semimartingale re ecting Brownian
motions (SRBMs). Speci cally, this VP appears in the large deviations analysis of the stationary
distribution of SRBMs in the d-dimensional orthant R d

  

Source: Avram, Florin - Laboratoire de Mathématiques Appliquées, Université de Pau et des Pays de l'Adour

 

Collections: Mathematics