SENSITIVITY ANALYSIS FOR DIFFUSION PROCESSES CONSTRAINED TO AN ORTHANT

被引：6
|
作者：
Dieker, A. B. [1 ]
Gao, X. [2 ]
机构：
[1] Georgia Inst Technol, H Milton Stewart Sch Ind & Syst Engn, Atlanta, GA 30332 USA
[2] Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
来源：
ANNALS OF APPLIED PROBABILITY | 2014年 / 24卷 / 05期
基金：
美国国家科学基金会;
关键词：
Basic adjoint relationship; constrained diffusion processes; infinitesimal perturbation analysis; queueing networks; reflected Brownian motion; sensitivity analysis; Skorohod reflection map; STATIONARY DISTRIBUTIONS; NETWORKS; APPROXIMATIONS; PERTURBATION; DERIVATIVES; QUEUES;
D O I：
10.1214/13-AAP967
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper studies diffusion processes constrained to the positive orthant under infinitesimal changes in the drift. Our first main result states that any constrained function and its (left) drift-derivative is the unique solution to an augmented Skorohod problem. Our second main result uses this characterization to establish a basic adjoint relationship for the stationary distribution of the constrained diffusion process jointly with its left-derivative process.
引用
收藏
页码：1918 / 1945
页数：28
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