Characterization of stationary distributions of reflected diffusions

Abstract

Given a domain G, a reflection vector field d(.) on 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 suitable assumptions that, in particular, ensure that the associated submartingale problem is well posed, it is shown that a probability measure $\pi$ on \bar{G} is a stationary distribution for the corresponding reflected diffusion if and only if $\pi (\partial G)=0$ and ${\int }_{\bar{G}}Lf(x)\pi (dx)\le 0$ for every f in a certain class of test functions. Moreover, the assumptions are shown to be satisfied by a large class of reflected diffusions in piecewise smooth multi-dimensional domains with possibly oblique reflection.

48 pages