Characterization of stationary distributions of reflected diffusions (Q2511552)
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scientific article
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| English | Characterization of stationary distributions of reflected diffusions |
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Characterization of stationary distributions of reflected diffusions (English)
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6 August 2014
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The authors establish a characterization of stationary distributions for a class of reflected diffusions in piecewise smooth domains with oblique reflection. A precise form of the pertinent submartingale problem is provided, and the existence of a stationary distribution for reflected diffusion in a bounded domain is deduced. There is a good discussion of earlier work, and relevant illustrative examples are given.
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reflected diffusions
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submartingale problem
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stochastic differential equations
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skew-symmetry condition
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queueing networks
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0.8167540431022644
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0.8068116307258606
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0.8053019046783447
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0.8015881776809692
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0.7963963150978088
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