LYAPUNOV FUNCTIONS FOR SEMIMARTINGALE REFLECTING BROWNIAN MOTIONS

• 成果类型: Article
• 署名作者: DUPUIS, P; WILLIAMS, RJ
• 署名单位: University of California System; University of California San Diego
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/aop/1176988725
• 发表日期: 1994
• 页码: 680-702
• 关键词: recurrence

摘要

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.