Accession Number:

ADA618438

Title:

Characterization of Stationary Distributions of Reflected Diffusions

Descriptive Note:

Technical rept.

Corporate Author:

BROWN UNIV PROVIDENCE RI

Personal Author(s):

Report Date:

2014-01-01

Pagination or Media Count:

53.0

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE