Reflected Brownian Motion
Published Online: 15 FEB 2011
Copyright © 2010 John Wiley & Sons, Inc. All rights reserved.
Wiley Encyclopedia of Operations Research and Management Science
How to Cite
Dieker, A. B. 2011. Reflected Brownian Motion. Wiley Encyclopedia of Operations Research and Management Science. .
- Published Online: 15 FEB 2011
Reflected Brownian motion is a continuous-time continuous-state Markov process, which is constrained to its finite-dimensional state space S by a pushing mechanism on the boundary ∂S of S. In the context of Operations Research and Management Science, the state space S is typically the nonnegative orthant. This article reviews several aspects of reflected Brownian motion on this orthant: its construction, its positive recurrence, and its stationary distribution.
- reflected Brownian motion;
- diffusion approximation;
- heavy traffic;
- positive recurrence;
- stationary distribution