Characterization of Stationary Distributions of Reflected Diffusions
BROWN UNIV PROVIDENCE RI
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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.
- Statistics and Probability