Abstract
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.
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