Sensitivity analysis for diffusion processes constrained to an orthant
Probability
2014-07-03 v3
Abstract
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.
Cite
@article{arxiv.1107.2871,
title = {Sensitivity analysis for diffusion processes constrained to an orthant},
author = {A. B. Dieker and X. Gao},
journal= {arXiv preprint arXiv:1107.2871},
year = {2014}
}
Comments
Published in at http://dx.doi.org/10.1214/13-AAP967 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)