约束为正交项的扩散过程的灵敏度分析
Sensitivity analysis for diffusion processes constrained to an orthant
摘要：
本文研究了漂移量变化无穷小的正向点扩散过程。我们的第一个主要结果表明，任何约束函数及其（左）漂移导数都是增广Skorohod问题的唯一解。我们的第二个主要结果使用这个特征，建立一个基本的伴随关系的平稳分布的约束扩散过程连同其左导过程。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
