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 on \bar{G} is a stationary distribution for the corresponding reflected diffusion if and only if and 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}
}
Comments
48 pages