On directional derivatives of Skorokhod maps in convex polyhedral domains

DOI10.1214/17-AAP1299zbMath1401.90232arXiv1602.01860OpenAlexW2963277490WikidataQ130038605 ScholiaQ130038605MaRDI QIDQ1650088

Kavita Ramanan, David Lipshutz

Publication date: 29 June 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.01860

zbMATH Keywords

sensitivity analysisstochastic flowreflected processoblique reflectionextended Skorokhod problemboundary jitter propertyderivative problemdirectional derivative of the Skorokhod map

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Sensitivity, stability, parametric optimization (90C31) Stochastic network models in operations research (90B15) Sample path properties (60G17)

Related Items (6)

On directional derivatives of Skorokhod maps in convex polyhedral domains ⋮ A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains ⋮ Subdiffusive Load Balancing in Time-Varying Queueing Systems ⋮ Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata ⋮ Sensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral Cone ⋮ Pathwise differentiability of reflected diffusions in convex polyhedral domains

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