A numerical scheme for invariant distributions of constrained diffusions

DOI10.1287/MOOR.2013.0599zbMATH Open1307.65008arXiv1205.5083OpenAlexW2165471239MaRDI QIDQ5169701FDOQ5169701

Amarjit Budhiraja, Jiang Chen, Sylvain Rubenthaler

Publication date: 11 July 2014

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

Abstract: Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the corresponding stochastic networks and thus it is important to develop reliable and efficient algorithms for numerical computation of such distributions. In this work we propose and analyze a Monte-Carlo scheme based on an Euler type discretization of the reflected stochastic differential equation using a single sequence of time discretization steps which decrease to zero as time approaches infinity. Appropriately weighted empirical measures constructed from the simulated discretized reflected diffusion are proposed as approximations for the invariant probability measure of the true diffusion model. Almost sure consistency results are established that in particular show that weighted averages of polynomially growing continuous functionals evaluated on the discretized simulated system converge a.s. to the corresponding integrals with respect to the invariant measure. Proofs rely on constructing suitable Lyapunov functions for tightness and uniform integrability and characterizing almost sure limit points through an extension of Echeverria's criteria for reflected diffusions. Regularity properties of the underlying Skorohod problems play a key role in the proofs. Rates of convergence for suitable families of test functions are also obtained. A key advantage of Monte-Carlo methods is the ease of implementation, particularly for high dimensional problems. A numerical example of a eight dimensional Skorohod problem is presented to illustrate the applicability of the approach.

Full work available at URL: https://arxiv.org/abs/1205.5083

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zbMATH Keywords

consistencyconvergenceMonte Carlo simulationstochastic differential equationinvariant measuresstochastic networksreflected diffusionSkorohod problemstochastic algorithmsheavy traffic theory

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25) Combinatorial probability (60C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

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