Exponential ergodicity and convergence for generalized reflected Brownian motion
arXiv:1806.03755 · doi:10.1007/s11134-019-09610-5
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.
17 pages. This paper is published by https://link.springer.com/article/10.1007%2Fs11134-019-09610-5