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- W4253485990 abstract "In this paper we consider reflected diffusions with positive and negative jumps, constrained to lie in the nonnegative orthant of ℝ n . We allow for the drift and diffusion coefficients, as well as for the directions of reflection, to be random fields over time and space. We provide a boundary behavior characterization, generalizing known results in the nonrandom coefficients and constant directions of the reflection case. In particular, the regulator processes are related to semimartingale local times at the boundaries, and they are shown not to charge the times the process expends at the intersection of boundary faces. Using the boundary results, we extend the conditions for product-form distributions in the stationary regime to the case when the drift and diffusion coefficients, as well as the directions of reflection, are random fields over space." @default.
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- W4253485990 date "2008-06-01" @default.
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- W4253485990 title "Boundary behavior and product-form stationary distributions of jump diffusions in the orthant with state-dependent reflections" @default.
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- W4253485990 doi "https://doi.org/10.1017/s0001867800002639" @default.
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