Characterization of Stationary Distributions of Reflected Diffusions
نویسندگان
چکیده
Given a domain G, a reflection vector field d(·) on ∂G, the boundary of G, and drift and dispersion coefficients b(·) and σ(·), let L be the usual second-order elliptic operator associated with b(·) and σ(·). Under mild assumptions on the coefficients and reflection vector field, it is shown that when the associated submartingale problem is well posed, a probability measure π on Ḡ with π(∂G) = 0 is a stationary distribution for the corresponding reflected diffusion if and only if ∫
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