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Comparison Results for Reflected Jump-diffusions in the Orthant with Variable Reflection Directions and Stability Applications


 
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1. Title Title of document Comparison Results for Reflected Jump-diffusions in the Orthant with Variable Reflection Directions and Stability Applications
 
2. Creator Author's name, affiliation, country Francisco J Piera; University of Chile
 
2. Creator Author's name, affiliation, country Ravi R Mazumdar; University of Waterloo
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Jump-diffusion processes; pathwise comparisons; state-dependent oblique reflections; Skorokhod maps; stability; ergodicity.
 
3. Subject Subject classification Primary: 60J60, 60J75; Secondary: 60G17, 60J50, 60K25, 34D20.
 
4. Description Abstract We consider reflected jump-diffusions in the orthant $R_+^n$ with time- and state-dependent drift, diffusion and jump-amplitude coefficients. Directions of reflection upon hitting boundary faces are also allow to depend on time and state. Pathwise comparison results for this class of processes are provided, as well as absolute continuity properties for their associated regulator processes responsible of keeping the respective diffusions in the orthant. An important role is played by the boundary property in that regulators do not charge times spent by the reflected diffusion at the intersection of two or more boundary faces. The comparison results are then applied to provide an ergodicity condition for the state-dependent reflection directions case.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) Francisco J. Piera: Research supported in part by VID, U. of Chile, Chile, DI Project REIN 06/05, by CONICYT, Chile, FONDECYT Project 1070797, and by the Millennium Science Nucleus on Information and Randomness, Dept. of Mathematical Engineering, U. of Ch
 
7. Date (YYYY-MM-DD) 2008-10-30
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/569
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-569
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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