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

DOI10.1214/16-AOP1153MaRDI QIDQ516124zbMATH OpenOpenAlexFDO

Authors Weining Kang, Kavita Ramanan

Publication date 22 March 2017

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

Full work available at URL https://arxiv.org/abs/1412.0729, https://projecteuclid.org/euclid.aop/1485421336

zbMATH Keywords

diffusion approximationsextended Skorokhod problemmartingale problemnonsemimartingalesqueueing networksreflected Brownian motionreflecting diffusionsSkorokhod problemstochastic differential equations with reflectionsubmartingale problemweak solutions

Mathematics Subject Classification ID

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

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.

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