In probability theory, reflected Brownian motion (or regulated Brownian motion, both with the acronym RBM) is a Wiener process in a space with reflecting boundaries.
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RBMs have been shown to describe queueing models experiencing heavy traffic as first proposed by Kingman and proven by Iglehart and Whitt.
Definition
A d–dimensional reflected Brownian motion Z is a stochastic process on
where X(t) is an unconstrained Brownian motion and
with Y(t) a d–dimensional vector where
The reflection matrix describes boundary behaviour. In the interior of
Stability conditions
Stability conditions are known for RBMs in 1, 2, and 3 dimensions. "The problem of recurrence classification for SRBMs in four and higher dimensions remains open." In the special case where R is an M-matrix then necessary and sufficient conditions for stability are
- R is a non-singular matrix and
- R−1μ < 0.
One dimension
The marginal distribution (transient distribution) of a one-dimensional Brownian motion starting at 0 restricted to positive values (a single reflecting barrier at 0) with drift μ and variance σ2 is
for all t ≥ 0, (with Φ the cumulative distribution function of the normal distribution) which yields (for μ < 0) when taking t → ∞ an exponential distribution
For fixed t, the distribution of Z(t) coincides with the distribution of the running maximum M(t) of the Brownian motion,
But be aware that the distributions of the processes as a whole are very different. In particular, M(t) is increasing in t, which is not the case for Z(t).
The heat kernel for reflected Brownian motion at
For the plane above
Multiple dimensions
The stationary distribution of a reflected Brownian motion in multiple dimensions is tractable analytically when there is a product form stationary distribution, which occurs when the process is stable and
where D = diag(Σ). In this case the probability density function is
where ηk = 2μkγk/Σkk and γ = R−1μ. Closed-form expressions for situations where the product form condition does not hold can be computed numerically as described below in the simulation section.
One dimension
In one dimension the simulated process is the absolute value of a Wiener process. The following MATLAB program creates a sample path.
The error involved in discrete simulations has been quantified.
Multiple dimensions
QNET allows simulation of steady state RBMs.
Other boundary conditions
Feller described possible boundary condition for the process