A numerical scheme for invariant distributions of constrained diffusions

DOI10.1287/MOOR.2013.0599MaRDI QIDQ5169701zbMATH OpenOpenAlexFDO

Authors Jiang Chen, Sylvain Rubenthaler, Amarjit Budhiraja

Publication date 11 July 2014

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.5083

zbMATH Keywords

consistencyconvergenceheavy traffic theoryinvariant measuresMonte Carlo simulationreflected diffusionSkorohod problemstochastic algorithmsstochastic differential equationstochastic networks

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Combinatorial probability (60C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Queueing theory (aspects of probability theory) (60K25) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the corresponding stochastic networks and thus it is important to develop reliable and efficient algorithms for numerical computation of such distributions. In this work we propose and analyze a Monte-Carlo scheme based on an Euler type discretization of the reflected stochastic differential equation using a single sequence of time discretization steps which decrease to zero as time approaches infinity. Appropriately weighted empirical measures constructed from the simulated discretized reflected diffusion are proposed as approximations for the invariant probability measure of the true diffusion model. Almost sure consistency results are established that in particular show that weighted averages of polynomially growing continuous functionals evaluated on the discretized simulated system converge a.s. to the corresponding integrals with respect to the invariant measure. Proofs rely on constructing suitable Lyapunov functions for tightness and uniform integrability and characterizing almost sure limit points through an extension of Echeverria's criteria for reflected diffusions. Regularity properties of the underlying Skorohod problems play a key role in the proofs. Rates of convergence for suitable families of test functions are also obtained. A key advantage of Monte-Carlo methods is the ease of implementation, particularly for high dimensional problems. A numerical example of a eight dimensional Skorohod problem is presented to illustrate the applicability of the approach.

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Cited in

(6)

• Numerical analysis of degenerate Kolmogorov equations of constrained stochastic Hamiltonian systems
• Stability of constrained Markov-modulated diffusions
• A structure-preserving numerical discretization of reversible diffusions
• Numerical methods for Stochastic differential equations: two examples
• Efficient steady-state simulation of high-dimensional stochastic networks
• Simulating elliptic diffusions and orthogonal invariance

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