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The Skorokhod problem in a time-dependent interval · Study

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ArticleThe Skorokhod problem in a time-dependent interval

Krzysztof Burdzy B2008

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Articlebronze2008

The Skorokhod problem in a time-dependent interval

Krzysztof Burdzy B · Weining Kang · Kavita Ramanan

82 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Probability and Risk Models

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References

2007Brownian Motion and Stochastic Calculus 1989Brownian Motion and Stochastic Calculus.1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's 2002Stochastic-process limits : an introduction to stochastic-process limits and their application to queues 2012An explicit formula for the Skorokhod map on [0,a 1995Strong Approximations for Time-Dependent Queues 2007An explicit formula for the Skorokhod map on [0, a]2006Reflected Diffusions Defined via the Extended Skorokhod Map

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2013Fluid Limits for Many-Server Systems with Reneging Under a Priority Policy 2019Stochastic Games for Fuel Follower Problem: $N$ versus Mean Field Game 2014A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis 2008Double Skorokhod Map and Reneging Real-Time Queues 2011Convergence of a queueing system in heavy traffic with general patience-time distributions 2013

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Year2008

Typearticle

Published2008-04-08

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations82

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2008.03.001

openalex_workW2061825652

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Abandonment versus blocking in many-server queues: asymptotic optimality in the QED regime