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Reflected diffusions in convex polyhedral domains arise in a variety of applications, including interacting particle systems, queueing networks, biochemical reaction networks and mathematical finance. Under suitable conditions on the data, we establish pathwise differentiability of such a reflected diffusion with respect to its defining parameters --- namely, its initial condition, drift and diffusion coefficients, and (oblique) directions of reflection along the boundary of the domain. We characterize the right-continuous regularization of a pathwise derivative of the reflected diffusion as the pathwise unique solution to a constrained linear stochastic differential equation with jumps whose drift and diffusion coefficients, domain and directions of reflection depend on the state of the reflected diffusion. The proof of this result relies on properties of directional derivatives of the associated (extended) Skorokhod reflection map and their characterization in terms of a so-called derivative problem, and also involves establishing certain path properties of the reflected diffusion at nonsmooth parts of the boundary of the polyhedral domain, which may be of independent interest. As a corollary, we obtain a probabilistic representation for derivatives of expectations of functionals of reflected diffusions, which is useful for sensitivity analysis of reflected diffusions.
In this work we develop an effective Monte Carlo method for estimating sensitivities, or gradients of expectations of sufficiently smooth functionals, of a reflected diffusion in a convex polyhedral domain with respect to its defining parameters ---
Two frameworks that have been used to characterize reflected diffusions include stochastic differential equations with reflection and the so-called submartingale problem. We introduce a general formulation of the submartingale problem for (obliquely)
Reflected Brownian motion (RBM) in a convex polyhedral cone arises in a variety of applications ranging from the theory of stochastic networks to math finance, and under general stability conditions, it has a unique stationary distribution. In such a
Given a domain G, a reflection vector field d(.) on the boundary of G, and drift and dispersion coefficients b(.) and sigma(.), let L be the usual second-order elliptic operator associated with b(.) and sigma(.). Under suitable assumptions that, in p
Polyhedral circle packings are generalizations of the Apollonian packing. We develop the theory of the Apollonian group, Descartes quadratic form, and related objects for all polyhedral packings. We use these tools to determine the domain of absolute