2 papers
stat.ME2014
Measuring the Initial Transient: Reflected Brownian Motion
Rob J. Wang, Peter W. Glynn
We analyze the convergence to equilibrium of one-dimensional reflected Brownian motion (RBM) and compute a number of related initial transient formulae. These formulae are of inter…
math.PR2013
Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes
Peter W. Glynn, Rob J. Wang
This paper develops central limit theorems (CLT's) and large deviations results for additive functionals associated with reflecting diffusions in which the functional may include a…