Accession Number : ADA618438
Title : Characterization of Stationary Distributions of Reflected Diffusions
Descriptive Note : Technical rept.
Corporate Author : BROWN UNIV PROVIDENCE RI
Personal Author(s) : Kang, Weining ; Ramanan, Kavita
Report Date : Jan 2014
Pagination or Media Count : 53
Abstract : This work establishes a simple characterization of stationary distributions of a broad class of reflected diffusions in piecewise smooth domains with oblique reflection, including those that are not necessarily semimartingales, and uses it to identify classes of reflected diffusions with state-dependent drift for which the stationary density takes an explicit form. Reflected diffusions arise in a variety of applications, ranging from queueing theory and operations research to finance and mathematical physics, and their stationary distributions often serve to characterize or approximate important quantities of interest.
Descriptors : *STOCHASTIC PROCESSES , DIFFUSION , DISTRIBUTION , OPERATIONS RESEARCH , QUEUEING THEORY , REFLECTION
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE