Convex duality and the Skorokhod problem. II. (English) Zbl 0944.60062

Dupuis, Paul; Ramanan, Kavita

Probab. Theory Relat. Fields 115, No. 2, 197-236 (1999).

A number of applications is presented to show how it is working the method developed in the first part of this paper (reviewed above). The method is based on using convex duality in the case of the domain being a convex polyhedron. Among the models described there is a class of Skorokhod problems which arise from a model of processor sharing in communication networks.

Reviewer: Sergej V.Rogozin (Minsk)

MSC:

60G99	Stochastic processes
34A60	Ordinary differential inclusions
52B11	\(n\)-dimensional polytopes
60K25	Queueing theory (aspects of probability theory)

Keywords:

Skorokhod problem; constrained deterministic and stochastic processes; convex polyhedron; convex duality; Lipschitz continuity

Citations:

Zbl 0944.60060