Sensitivity analysis for diffusion processes constrained to an orthant

DOI10.1214/13-AAP967zbMATH Open1307.60105arXiv1107.2871MaRDI QIDQ744381FDOQ744381

Authors: A. B. Dieker, Xuefeng Gao 

Publication date: 25 September 2014

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

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.

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

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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)

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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
• 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
• On directional derivatives of Skorokhod maps in convex polyhedral domains
• Homogeneous Sono-Fenton process: statistical modeling and global sensitivity analysis
• Sensitivity analysis and model optimization for reaction-diffusion systems
• Heavy traffic scaling limits for shortest remaining processing time queues with heavy tailed processing time distributions

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