On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries

DOI10.1214/16-AOP1153zbMATH Open1459.60162arXiv1412.0729OpenAlexW2963201277MaRDI QIDQ516124FDOQ516124

Authors: Weining Kang, Kavita Ramanan 

Publication date: 22 March 2017

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

Abstract: Two frameworks that have been used to characterize reflected diffusions include stochastic differential equations with reflection and the so-called submartingale problem. We introduce a general formulation of the submartingale problem for (obliquely) reflected diffusions in domains with piecewise C^2 boundaries and piecewise continuous reflection vector fields. Under suitable assumptions, we show that well-posedness of the submartingale problem is equivalent to existence and uniqueness in law of weak solutions to the corresponding stochastic differential equation with reflection. Our result generalizes to the case of reflecting diffusions a classical result due to Stroock and Varadhan on the equivalence of well-posedness of martingale problems and well-posedness of weak solutions of stochastic differential equations in d-dimensional Euclidean space. The analysis in the case of reflected diffusions in domains with non-smooth boundaries is considerably more subtle and requires a careful analysis of the behavior of the reflected diffusion on the boundary of the domain. In particular, the equivalence can fail to hold when our assumptions are not satisfied. The equivalence we establish allows one to transfer results on reflected diffusions characterized by one approach to reflected diffusions analyzed by the other approach. As an application, we provide a characterization of stationary distributions of a large class of reflected diffusions in convex polyhedral domains.

Full work available at URL: https://arxiv.org/abs/1412.0729

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zbMATH Keywords

weak solutionsdiffusion approximationsmartingale problemqueueing networksreflected Brownian motionSkorokhod problemextended Skorokhod problemnonsemimartingalesreflecting diffusionsstochastic differential equations with reflectionsubmartingale problem

Mathematics Subject Classification ID

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

Cited In (16)

• Pathwise differentiability of reflected diffusions in convex polyhedral domains
• Weak convergence of obliquely reflected diffusions
• Characterization of stationary distributions of reflected diffusions
• Markov selection for constrained martingale problems
• On the roughness of the paths of RBM in a wedge
• A reverse ergodic theorem for inhomogeneous killed Markov chains and application to a new uniqueness result for reflecting diffusions
• A spatial measure-valued model for chemical reaction networks in heterogeneous systems
• Reflecting Brownian motion in generalized parabolic domains: explosion and superdiffusivity
• Reflected Brownian motion with drift in a wedge
• Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata
• The submartingale problem for Brownian motion in a cone with non-constant oblique reflection
• A Dirichlet process characterization of a class of reflected diffusions
• On Reflected Diffusions in Cones and Cylinders
• Brownian motion with asymptotically normal reflection in unbounded domains: from transience to stability
• Title not available (Why is that?)
• On Constrained Langevin Equations and (Bio)Chemical Reaction Networks

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