Lyapunov Functions for Semimartingale Reflecting Brownian Motions
Dupuis, Paul ; Williams, Ruth J.
Ann. Probab., Tome 22 (1994) no. 4, p. 680-702 / Harvested from Project Euclid
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We prove that a sufficient condition for a semimartingale reflecting Brownian motion in an orthant (SRBM) to be positive recurrent is that all solutions of an associated deterministic Skorokhod problem are attracted to the origin. To prove this result, we construct a Lyapunov function for the SRBM.
Publié le : 1994-04-14
Classification:  Recurrence,  Lyapunov functions,  semimartingale reflecting Brownian motions,  Skorokhod problem,  dynamical system,  optimal control,  60J60,  60J65,  60K25,  34D20 
@article{1176988725,
     author = {Dupuis, Paul and Williams, Ruth J.},
     title = {Lyapunov Functions for Semimartingale Reflecting Brownian Motions},
     journal = {Ann. Probab.},
     volume = {22},
     number = {4},
     year = {1994},
     pages = { 680-702},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988725}
}

Dupuis, Paul; Williams, Ruth J. Lyapunov Functions for Semimartingale Reflecting Brownian Motions. Ann. Probab., Tome 22 (1994) no. 4, pp.  680-702. http://gdmltest.u-ga.fr/item/1176988725/