Characterization of stationary distributions of reflected diffusions

DOI10.1214/13-AAP947MaRDI QIDQ2511552zbMATH OpenFDO

Authors Weining Kang, Kavita Ramanan

Publication date 6 August 2014

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

Full work available at URL https://arxiv.org/abs/1204.4969, https://projecteuclid.org/euclid.aoap/1400073651

zbMATH Keywords

queueing networksreflected diffusionsskew-symmetry conditionstochastic differential equationssubmartingale problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Brownian motion (60J65) Queueing theory (aspects of probability theory) (60K25) Stochastic network models in operations research (90B15) Queues and service in operations research (90B22)

Abstract: Given a domain G, a reflection vector field d(.) on the boundary of G, and drift and dispersion coefficients b(.) and sigma(.), let L be the usual second-order elliptic operator associated with b(.) and sigma(.). Under suitable assumptions that, in particular, ensure that the associated submartingale problem is well posed, it is shown that a probability measure $pi$ on �ar{G} is a stationary distribution for the corresponding reflected diffusion if and only if $pi(partialG)=0$ and $$ for every f in a certain class of test functions. Moreover, the assumptions are shown to be satisfied by a large class of reflected diffusions in piecewise smooth multi-dimensional domains with possibly oblique reflection.

Review text

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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Cited in

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