Characterization of Stationary Distributions of Reflected Diffusions

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.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 2014
Accession Number
ADA618438

Entities

People

  • Kavita Ramanan
  • Weining Kang

Organizations

  • Brown University

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • Applied Mathematics
  • Brownian Motion
  • Differential Equations
  • Diffusion Coefficient
  • Equations
  • Markov Processes
  • Numbers
  • Operations Research
  • Partial Differential Equations
  • Probability
  • Probability Distributions
  • Queueing Theory
  • Real Numbers
  • Stationary Processes
  • Stochastic Processes
  • Theorems
  • Two Dimensional

Fields of Study

  • Mathematics

Readers

  • Electromagnetic Wave Scattering and Antenna Radiation Engineering
  • Mathematical Modeling and Probability Theory.