Research Communication | Open Access
Volume 2021 | Communication ID 126
Volume 2021 | Communication ID 126
| Tail asymptotic for a three dimensional semi-martingale reflecting Brownian motion |
Soukaina Ait Yousef, Abdelhak Yaacoubi, Abdelghani Ben Tahar
Received |
Accepted |
Published |
January 28, 2021 |
February 15, 2021 |
March 15, 2021 |
Abstract: This paper deals with the tail asymptotics for the stationary distribution of a three-dimensional semi-martingale reflecting Brownian motions (SRBMs). We consider an SRBM in the non-negative three-dimensional orthant. The data of this process are a covariance matrix ∆, a drift vector θ and a reflection matrix R satisfying the positive recurrence conditions as shown in [1], [3] and [4]. We apply the Kernel method and analytic continuation of moment generating functions to study the tail asymptotic of an SRBM with a specific reflection matrix, for the boundary stationary distribution, the ...