Convergence and Stationary Distributions for Walsh Diffusions
Abstract
A Walsh diffusion on Euclidean space moves along each ray from the origin, as a solution to a stochastic differential equation with certain drift and diffusion coefficients, as long as it stays away from the origin. As it hits the origin, it instantaneously chooses a new direction according to a given probability law, called the spinning measure. A special example is a real-valued diffusion with skew reflections at the origin. This process continuously (in the weak sense) depends on the spinning measure. We determine a stationary measure for such process, explore long-term convergence to this distribution and establish an explicit rate of exponential convergence.
Cite
@article{arxiv.1706.07127,
title = {Convergence and Stationary Distributions for Walsh Diffusions},
author = {Tomoyuki Ichiba and Andrey Sarantsev},
journal= {arXiv preprint arXiv:1706.07127},
year = {2018}
}
Comments
30 pages. Keywords: Walsh Brownian motion, Walsh diffusion, stochastic differential equation, stationary distribution, invariant measure, ergodic process, Lyapunov function, reflected diffusion