Sensitivity analysis for diffusion processes constrained to an orthant

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Abstract

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. © Institute of Mathematical Statistics, 2014.

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APA

Dieker, A. B., & Gao, X. (2014). Sensitivity analysis for diffusion processes constrained to an orthant. Annals of Applied Probability, 24(5), 1918–1945. https://doi.org/10.1214/13-AAP967

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