Characterization of stationary distributions of reflected diffusions.

By Weining Kang, Kavita Ramanan. 2012

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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.

Subfields: Computational Theory and Mathematics, Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/644dacd85296b700e895cf5fdc9c324b4a230599