Sensitivity analysis for the stationary distribution of reflected Brownian motion in a convex polyhedral cone

DOI10.1287/MOOR.2020.1076MaRDI QIDQ5000645zbMATH OpenOpenAlexFDO

Authors David Lipshutz, Kavita Ramanan

Publication date 15 July 2021

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

Full work available at URL https://arxiv.org/abs/1907.00472

zbMATH Keywords

sensitivity analysisstationary distributionreflected Brownian motionSkorokhod reflection problemderivative problemderivative processasymptotic coupling methodpathwise derivatives

Mathematics Subject Classification ID

Brownian motion (60J65) Sample path properties (60G17) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic particle methods (65C35)

Abstract: Reflected Brownian motion (RBM) in a convex polyhedral cone arises in a variety of applications ranging from the theory of stochastic networks to math finance, and under general stability conditions, it has a unique stationary distribution. In such applications, to implement a stochastic optimization algorithm or quantify robustness of a model, it is useful to characterize the dependence of stationary performance measures on model parameters. In this work we characterize parametric sensitivities of the stationary distribution of an RBM in a simple convex polyhedral cone; that is, sensitivities to perturbations of the parameters that define the RBM --- namely, the covariance matrix, drift vector and directions of reflection along the boundary of the polyhedral cone. In order to characterize these sensitivities we study the long time behavior of the joint process consisting of an RBM along with its so-called derivative process, which characterizes pathwise derivatives of RBMs on finite time intervals. We show that the joint process is positive recurrent, has a unique stationary distribution, and parametric sensitivities of the stationary distribution of an RBM can be expressed in terms of the stationary distribution of the joint process. This can be thought of as establishing an interchange of the differential operator and the limit in time. The analysis of ergodicity of the joint process is significantly more complicated than that of the RBM due to its degeneracy and the fact that the derivative process exhibits jumps that are modulated by the RBM. The proofs of our results rely on path properties of coupled RBMs and contraction properties related to the geometry of the polyhedral cone and directions of reflection along the boundary. Our results are potentially useful for developing efficient numerical algorithms for computing sensitivities of functionals of stationary RBMs.

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Cited in

(2)

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