Sensitivity analysis for diffusion processes constrained to an orthant
classification
🧮 math.PR
keywords
constraineddiffusionmainorthantprocessprocessesresultadjoint
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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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