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Sensitivity analysis for diffusion processes constrained to an orthant (1107.2871v3)
Published 14 Jul 2011 in math.PR
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.
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