1 citations · 1 across the 1 of their papers we have counts for
3 papers
math.PR2019★ 1 cited
Multidimensional Sticky Brownian Motions: Tail Behaviour of the Joint Stationary Distribution
Hongshuai Dai, Yiqiang Q. Zhao
Sticky Brownian motions, as time-changed semimartingale reflecting Brownian motions, have various applications in many fields, including queuing theory and mathematical finance. In…
math.PR2018
Exact tail asymptotics for a three dimensional Brownian-driven tandem queue with intermediate inputs
Hongshuai Dai, Dawson A. Donald, Yiqiang Q. Zhao
The semimartingale reflecting Brownian motion (SRBM) can be a heavy traffic limit for many server queueing networks. Asymptotic properties for stationary probabilities of the SRBM…
math.PR2018
Stationary Distributions for Two-Dimensional Sticky Brownian Motions: Exact Tail Asymptotics and Extreme Value Distributions
Hongshuai Dai, Yiqiang Q. Zhao
In this paper, we consider a two-dimensional sticky Brownian motion. Sticky Brownian motions can be viewed as time-changed semimartingale reflecting Brownian motions, which find ap…