Sensitivity analysis for diffusion processes constrained to an orthant

DOI10.1214/13-AAP967zbMATH Open1307.60105MaRDI QIDQ744381FDOQ744381

Authors A. B. Dieker, Xuefeng Gao

Publication date 25 September 2014

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

Full work available at URL https://arxiv.org/abs/1107.2871

zbMATH Keywords

sensitivity analysisqueueing networksreflected Brownian motioninfinitesimal perturbation analysisbasic adjoint relationshipconstrained diffusion processesSkorohod reflection map

Mathematics Subject Classification ID

Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25)

Abstract: This paper studies diffusion processes constrained to the positive orthant under infinitesimal changes in the drift. Our first main result states that any constrained function and its (left) drift-derivative is the unique solution to an augmented Skorohod problem. Our second main result uses this characterization to establish a basic adjoint relationship for the stationary distribution of the constrained diffusion process jointly with its left-derivative process.

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Cited in

(9)

• Sensitivity analysis of a linear and unbranched chemical process with \(n\) steps
• Pathwise differentiability of reflected diffusions in convex polyhedral domains
• On directional derivatives of Skorokhod maps in convex polyhedral domains
• Heavy traffic scaling limits for shortest remaining processing time queues with heavy tailed processing time distributions
• Computation of sensitivities for the invariant measure of a parameter dependent diffusion
• Fréchet differentiable drift dependence of Perron-Frobenius and Koopman operators for non-deterministic dynamics
• Sensitivity analysis for the stationary distribution of reflected Brownian motion in a convex polyhedral cone
• Sensitivity analysis and model optimization for reaction-diffusion systems
• Homogeneous Sono-Fenton process: statistical modeling and global sensitivity analysis

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