Stationary distribution of reflected O-U process with two-sided barriers

摘要

In this paper, we develop a one-sided reflected Ornstein-Uhlenbeck process proposed by Ward and Glynn [Ward, A., Glynn, P., 2003. A diffusion approximation for Markovian queue with reneging. Queueing Systems 43, 103-128] and explore the reflected process with two-sided barriers. Consequently the stationary distribution of the process is derived by Markovian infinitesimal generator argument.