Sensitivity analysis for diffusion processes constrained to an orthant

DOI10.1214/13-AAP967zbMath1307.60105arXiv1107.2871MaRDI QIDQ744381

A. B. Dieker, Xuefeng Gao

Publication date: 25 September 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.2871

zbMATH Keywords

sensitivity analysisqueueing networksinfinitesimal perturbation analysisreflected Brownian motionbasic adjoint relationshipconstrained diffusion processesSkorohod reflection map

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Diffusion processes (60J60)

Related Items (5)

On directional derivatives of Skorokhod maps in convex polyhedral domains ⋮ Fréchet differentiable drift dependence of Perron–Frobenius and Koopman operators for non-deterministic dynamics ⋮ Heavy traffic scaling limits for shortest remaining processing time queues with heavy tailed processing time distributions ⋮ Sensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral Cone ⋮ Pathwise differentiability of reflected diffusions in convex polyhedral domains

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