For more information about this meeting, contact Manfred Denker, Anna Mazzucato, Victor Nistor, Alexei Novikov.
|Title:||Characterization of stationary distributions of reflected diffusions|
|Seminar:||Probability and Financial Mathematics Seminar|
|Speaker:||Weining Kang, University of Maryland|
|In this talk I will focus on a characterization of stationary distributions of reflected diffusions that arise as approximations to stochastic systems commonly from telecommunications and manufacturing, etc. I will describe the extended Skorokhod problem formulation and the submartingale problem formulation of the class of reflected diffusions and explore their connections. Also I will discuss how their connections can be used to give a characterization of their stationary distributions and how this characterization can be used to compute those stationary distributions. Some additional applications of this characterization will also be discussed.|
Room Reservation Information
|Date:||11 / 21 / 2014|
|Time:||03:35pm - 04:35pm|