SENSITIVITY ANALYSIS FOR DIFFUSION PROCESSES CONSTRAINED TO AN ORTHANT

• 成果类型: Article
• 署名作者: Dieker, A. B.; Gao, X.
• 署名单位: University System of Georgia; Georgia Institute of Technology; Chinese University of Hong Kong
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/13-AAP967
• 发表日期: 2014
• 页码: 1918-1945
• 关键词: stationary distributions; networks; approximations; perturbation; derivatives; queues

摘要

This paper studies diffusion processes constrained to the positive orthant under infinitesimal changes in the drift. Our first main result states that any constrained function and its (left) drift-derivative is the unique solution to an augmented Skorohod problem. Our second main result uses this characterization to establish a basic adjoint relationship for the stationary distribution of the constrained diffusion process jointly with its left-derivative process.