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Showing 2009 · math.PRShow all
4 papers · 2 filters
math.PR2009★ 7 cited
On convergence to stationarity of fractional Brownian storage
Michel Mandjes, Ilkka Norros, Peter Glynn
With denoting the running maximum of a fractional Brownian motion with negative drift, this paper studies the rate of convergence of $\mat…
math.PR2009★ 30 cited
Rates of convergence of some multivariate Markov chains with polynomial eigenfunctions
Kshitij Khare, Hua Zhou
We provide a sharp nonasymptotic analysis of the rates of convergence for some standard multivariate Markov chains using spectral techniques. All chains under consideration have mu…
math.PR2009
Random Walks on Dicyclic Group
Songzi Du
This paper works out the rate of convergence of two "natural" random walks on the dicyclic group.
math.PR2009★ 9 cited
Optimal stopping and free boundary characterizations for some Brownian control problems
Amarjit Budhiraja, Kevin Ross
A singular stochastic control problem with state constraints in two-dimensions is studied. We show that the value function is and its directional derivatives are the value fu…