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


Full Text : https://apps.dtic.mil/dtic/tr/fulltext/u2/a618438.pdf


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