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

Miyazawa, M (Tokyo)
Friday 26 February 2010, 15:00-16:00

Seminar Room 1, Newton Institute


(This is joint work with my student Masahiro Kobayashi) We conjecture the tail decay rates of the stationary distribution of a d-dimensional semimartingale reflecting Brownian motion, SRBM for short, provided it is stable. The conjectures are compatible with the existing results for the case of d=2 and the skew symmetric case for a general d.


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