A Dirichlet process characterization of a class of reflected diffusions
Abstract
For a class of stochastic differential equations with reflection for which a certain continuity condition holds with , it is shown that any weak solution that is a strong Markov process can be decomposed into the sum of a local martingale and a continuous, adapted process of zero -variation. When , this implies that the reflected diffusion is a Dirichlet process. Two examples are provided to motivate such a characterization. The first example is a class of multidimensional reflected diffusions in polyhedral conical domains that arise as approximations of certain stochastic networks, and the second example is a family of two-dimensional reflected diffusions in curved domains. In both cases, the reflected diffusions are shown to be Dirichlet processes, but not semimartingales.
Cite
@article{arxiv.1010.2106,
title = {A Dirichlet process characterization of a class of reflected diffusions},
author = {Weining Kang and Kavita Ramanan},
journal= {arXiv preprint arXiv:1010.2106},
year = {2010}
}
Comments
Published in at http://dx.doi.org/10.1214/09-AOP487 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)