A Numerical Scheme for Invariant Distributions of Constrained Diffusions
نویسندگان
چکیده
منابع مشابه
A Numerical Scheme for Invariant Distributions of Constrained Diffusions
Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the corresponding stochastic networks and thus it is important to develop reliable and efficient algorithms for numerical computation of such distributions. In th...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2014
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.2013.0599