On the stability of the linear Skorohod problem in an orthant

Mathematical Methods of Operations Research

Volumn 56, Issue 2, 2002, Pages 243-258

  El Kharroubi, Ahmed ^a   Ben Tahar, Abdelghani ^a   Yaacoubi, Abdelhak ^a  

^a FACULTÉ DES SCIENCES AIN CHOCK   (Morocco)

Author keywords

Linear complementary problem; Skorohod problem; Stability

Indexed keywords

LINEAR EQUATIONS; STABILITY; VECTORS;

LINEAR COMPLEMENTARY PROBLEMS;

PROBLEM SOLVING;

EID: 0036858254     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001860200210     Document Type: Article

References (11)

1. Berman A., Plemmons R.J. (1979) Nonnegative matrices in the mathematical sciences. Academic Press, New York.
2. n. Stochastics and Stochastics Reports 34:149-167.
3. Chen H. (1996) A sufficient condition for the positive recurrence of a semimartigale reflecting Brownian motion in an orthant. Ann. Appl. Probab. 6:758-765.
4. Cottle R.W. (1980) Completely-matrices. Mathematical Programming 19:347-351.
5. Cottle R.W., Dantzig G.B. (1968) Complementary pivot theory of mathematical programing. Linear Algebra and Appl. 1:103-125.
6. Dai J.G., Harrison J.M. (1992) Reflected Brownian motion in an orthant: Numerical methods for steady-state analysis. Ann. Appl. Probab. 2:65-86.
7. Dai J.G., Harrison J.M. (1993) The QNET method for two-moment analysis of closed manufacturing systems. Ann. Appl. Probab. 4:968-1012.
8. Dupuis P., Williams R.J. (1994) Lyapunov functions for semimartingale reflecting Brownian motions. Ann. Probab. 22:680-702.
9. Rieman M.I., Williams R.J. (1988-1989) A boundary property of semimartingale reflecting Brownian motions. Probab. Theory Related Fields 77:87-97; 80:633.
10. Samelson H., Thrall R.M., Wesler O. (1958) A partition theorem of euclidean n-space. Proc. A. M. S. 9:805-807.
11. Taylor L.M., Williams R.J. (1993) Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant. Probab. Theory and Related Fields 96:283-317.