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Showing 1 to 2 of 2 for “"Skorokhod problem"”.
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Computational Methods for Control of Queueing Models in Bounded Domains
… no explicit solution to these types of control problems, numerical methods are needed. Following the method of Boué-Dupuis, we use a Dynamic Programming approach of optimization on a controlled Markov Chain that simulates the behavior of a fluid limit of the original process. The search for an …
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The Reflected Quasipotential: Characterization and Exploration
… V(x) is the solution to a variational problem that arises in the study of reflective Brownian motion. Specifically, the stationary distributions of reflected Brownian motion satisfy a large deviation principle (with respect to a spatial scaling parameter) with V(x) as the rate function. …