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

页码：1918 / 1945

页数：28

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