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Characterization of stationary distributions of reflected diffusions

Probability 2012-04-24 v1

Abstract

Given a domain G, a reflection vector field d(.) on the boundary of G, and drift and dispersion coefficients b(.) and \sigma(.), let L be the usual second-order elliptic operator associated with b(.) and \sigma(.). Under suitable assumptions that, in particular, ensure that the associated submartingale problem is well posed, it is shown that a probability measure π\pi on \bar{G} is a stationary distribution for the corresponding reflected diffusion if and only if π(G)=0\pi (\partial G) = 0 and GˉLf(x)π(dx)0\int_{\bar{G}} L f (x) \pi (dx) \leq 0 for every f in a certain class of test functions. Moreover, the assumptions are shown to be satisfied by a large class of reflected diffusions in piecewise smooth multi-dimensional domains with possibly oblique reflection.

Keywords

Cite

@article{arxiv.1204.4969,
  title  = {Characterization of stationary distributions of reflected diffusions},
  author = {Weining Kang and Kavita Ramanan},
  journal= {arXiv preprint arXiv:1204.4969},
  year   = {2012}
}

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48 pages