Asymptotic Product-form Steady-state Distribution for Semimartingale Reflecting Brownian Motion in Multi-scaling Regime

Jin Guang, Xinyun Chen, J. G. Dai +1

Inspired by Dai et al. [2023], we develop a novel multi-scaling asymptotic regime for semimartingale reflecting Brownian motion (SRBM). In this regime, we establish the steady-stat…