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Convex duality and the Skorokhod Problem. I · Study

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ArticleConvex duality and the Skorokhod Problem. I

Paul G. Dupuis1999

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Articlebronze1999

Convex duality and the Skorokhod Problem. I

Paul G. Dupuis · Kavita Ramanan

85 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Optimization and Variational Analysis Stochastic processes and statistical mechanics

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References

1987Brownian Motion and Stochastic Flow Systems.1984Stochastic differential equations with reflecting boundary conditions 1984Open Queueing Networks in Heavy Traffic 1981Reflected Brownian Motion on an Orthant 1996Stochastic Networks Theory and Applications 1995Stability and convergence of moments for multiclass queueing networks via fluid limit models 1991On lipschitz continuity of the solution mapping to the skorokhod problem, with applications 1987Stochastic differential equations for multi-dimensional domain with reflecting boundary

Cited by

2011Heavy traffic analysis for EDF queues with reneging 2000A Subsidy-Surplus Model and the Skorokhod Problem in an Orthant 2018Heavy traffic analysis for EDF queues with reneging 2006Long time asymptotics for constrained diffusions in polyhedral domains 2012Controlled stochastic networks in heavy traffic: Convergence of value functions 2003Fluid and heavy traffic diffusion limits for a generalized processor sharing model

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1992Diffusion approximation forGI/G/1 controlled queuesarticle · 6 shared references 2000A Multiclass Feedback Queueing Network with a Regular Skorokhod Problemarticle · 6 shared references 2001The Reflection Map with Discontinuitiesarticle · 6 shared references 2010Directional Derivatives of Oblique Reflection Mapsarticle · 6 shared references 2002Analysis, Design, and Control of Queueing Systemsarticle · 5 shared references 2006Reflected Diffusions Defined via the Extended Skorokhod Maparticle · 5 shared references

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Year1999

Typearticle

Published1999-09-01

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languageen

Citations85

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s004400050269

openalex_workW4242344947

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1999Large deviations and queueing networks: Methods for rate function identification

2000Large deviations of Jackson networks