R. Williams - Lecture Materials

I will try to give an indication in my 2 lectures of how reflecting Brownian motions can arise as diffusion approximations to a variety of performance analysis and control problems for stochastic processing networks. (This will involve something old and something new.)

The slides of the talks for Lectures One and Two

The papers are:

R. J. Williams (1995) Semimartingale reflecting Brownian motions in the orthant, Pages 125-137 in Stochastic Networks, IMA Volumes in Mathematics and Its Applications, Volume 71, edited by. F. P. Kelly and R. J. Williams, Springer- Verlag, New York

W. Kang and R. J. Williams (2007) An Invariance Principle for Semimartingale Reflecting Brownian Motions in Domains with Piecewise Smooth Boundaries Annals of Applied Probability, Vol 17 (2007), 741-779.