Conjectures on tail asymptotics of the marginal stationary distribution for a multidimensional SRBM

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Article ID:	iaor20119082
Volume:	68
Issue:	3
Start Page Number:	251
End Page Number:	260
Publication Date:	Aug 2011
Journal:	Queueing Systems
Authors:	Miyazawa Masakiyo, Kobayashi Masahiro
Keywords:	Brownian motion

Abstract:

We are concerned with the stationary distribution of a d‐dimensional semimartingale reflecting Brownian motion on a nonnegative orthant, provided it is stable, and conjecture about the tail decay rate of its marginal distribution in an arbitrary direction. Due to recent studies, the conjecture is true for d=2. We show its validity for the skew symmetric case for a general d.

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