Reflected diffusions defined via the extended Skorokhod map
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General theory of stochastic processes (60G07) Sample path properties (60G17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Discrete-time Markov processes on general state spaces (60J05) Interacting random processes; statistical mechanics type models; percolation theory (60K35)
Abstract: This work introduces the extended Skorokhod problem (ESP) and associated extended Skorokhod map (ESM) that enable a pathwise construction of reflected diffusions that are not necessarily semimartingales. Roughly speaking, given the closure G of an open connected set in R^J, a non-empty convex cone d(x) in R^J, specified at each point x on the boundary of G, and a cadlag trajectory psi taking values in R^J, the ESM defines a constrained version phi of psi that takes values in G and is such that the increments of phi - psi on any interval [s,t] lie in the closed convex hull of the directions d(phi(u)), u in (s,t]. General deterministic properties of the ESP are first established under the only assumption that the graph of d(.) is closed. Next, for a class of multi-dimensional ESPs on polyhedral domains, pathwise uniqueness and existence of strong solutions to the associated stochastic differential equations is established. In addition, it is also proved that these reflected diffusions are semimartingales on [0, au_0], where au_0 is the time to hit the set of points x on the boundary for which d(x) contains a line. One motivation for the study of this class of reflected diffusions is that they arise as approximations of queueing networks in heavy traffic that use the so-called generalised processor sharing discipline.
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(37)- The Skorokhod problem in a time-dependent interval
- On directional derivatives of Skorokhod maps in convex polyhedral domains
- A Skorokhod map on measure-valued paths with applications to priority queues
- Fluid and heavy traffic diffusion limits for a generalized processor sharing model
- Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata
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- Pathwise differentiability of reflected diffusions in convex polyhedral domains
- On the roughness of the paths of RBM in a wedge
- Large closed queueing networks in semi-Markov environment and their application
- The heavy traffic limit of an unbalanced generalized processor sharing model
- Characterization of stationary distributions of reflected diffusions
- A multidimensional ruin problem and an associated notion of duality
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- The Effective Bandwidth Problem Revisited
- scientific article; zbMATH DE number 5183824 (Why is no real title available?)
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- Sensitivity analysis for the stationary distribution of reflected Brownian motion in a convex polyhedral cone
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- The Skorohod oblique reflection problem in time-dependent domains
- An explicit representation of the extended Skorokhod map with two time-dependent boundaries
- Reflected Brownian motion with drift in a wedge
- On Reflected Diffusions in Cones and Cylinders
- A cross-border market model with limited transmission capacities
- Diffusion limits in the quarter plane and nonsemimartingale reflected Brownian motion
- Heavy traffic scaling limits for shortest remaining processing time queues with light tailed processing time distributions
- Obliquely reflecting Brownian motion in nonpolyhedral, piecewise smooth cones, with an example of application to diffusion approximation of bandwidth-sharing queues
- Hitting time of a corner for a reflected diffusion in the square
- Sensitivity analysis for diffusion processes constrained to an orthant
- Diffusions with reflection on an orthant and associated initial-boundary value problems
- Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity
- A Dirichlet process characterization of a class of reflected diffusions
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