SENSITIVITY ANALYSIS FOR DIFFUSION PROCESSES CONSTRAINED TO AN ORTHANT
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AbstractThis 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.
All Author(s) ListDieker AB, Gao X
Journal nameAnnals of Applied Probability
Year2014
Month10
Day1
Volume Number24
Issue Number5
PublisherINST MATHEMATICAL STATISTICS
Pages1918 - 1945
ISSN1050-5164
LanguagesEnglish-United Kingdom
KeywordsBasic adjoint relationship; constrained diffusion processes; infinitesimal perturbation analysis; queueing networks; reflected Brownian motion; sensitivity analysis; Skorohod reflection map
Web of Science Subject CategoriesMathematics; Statistics & Probability; STATISTICS & PROBABILITY