Sensitivity analysis for diffusion processes constrained to an orthant

Citation
B. Dieker, A. et X. Gao, Sensitivity analysis for diffusion processes constrained to an orthant, Annals of applied probability , 24(5), 2014, pp. 1918-1945
ISSN journal
10505164
Volume
24
Issue
5
Year of publication
2014
Pages
1918 - 1945
Database
ACNP
SICI code
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.