The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations

DOI10.1007/BF01194489zbMath0744.60065MaRDI QIDQ1187100

Cristina Costantini

Publication date: 28 June 1992

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01194489

zbMATH Keywords

stochastic differential equations; weak solutions; Skorokhod topology; reflecting Brownian motion; reflection problem; reflection boundary conditions

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

Related Items

A McKean--Vlasov SDE and Particle System with Interaction from Reflecting Boundaries, Large Deviations for Additive Functionals of Reflected Jump-Diffusions, Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls, Stability and invariant measure asymptotics in a model for heavy particles in rough turbulent flows, Stochastic variational inequalities with oblique subgradients, Spinning Brownian motion, The Skorohod oblique reflection problem in time-dependent domains, Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity, On directional derivatives of Skorokhod maps in convex polyhedral domains, The heat equation and reflected Brownian motion in time-dependent domains., Existence and uniqueness of reflecting diffusions in cusps, Reflected Brownian motion with singular drift, Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata, Penalty method for obliquely reflected diffusions, Markov selection for constrained martingale problems, On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients, Invariance for stochastic differential systems with time-dependent constraining sets, Stochastic and partial differential equations on non-smooth time-dependent domains, On a decomposition of symmetric diffusions with reflecting boundary conditions., Large deviations and exit-times for reflected McKean-Vlasov equations with self-stabilising terms and superlinear drifts, Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains, Reflected BSDE of Wiener-Poisson type in time-dependent domains, Well-posedness of Stratonovich multi-valued SDEs driven by semimartingales, Asymptotic Optimality of Power-of-d Load Balancing in Large-Scale Systems, A NOTE ON THE SMOLUCHOWSKI–KRAMERS APPROXIMATION FOR THE LANGEVIN EQUATION WITH REFLECTION, Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Reflected Brownian motion with skew symmetric data in a polyhedral domain
• Stochastic differential equations with reflecting boundary condition in convex regions
• Reflected Brownian motion on an orthant
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Diffusion approximation for a class of transport processes with physical reflection boundary conditions
• On stochastic differential equations for multi-dimensional diffusion processes with boundary conditions
• Multi-dimensional diffusion and the Markov process on the boundary
• On the construction of two-dimensional diffusion processes satisfying Wentzell’s boundary conditions and its application to boundary value problems
• Open Queueing Networks in Heavy Traffic
• Brownian motion in a wedge with oblique reflection
• Stochastic differential equations with reflecting boundary conditions
• Brownian models of open queueing networks with homogeneous customer populations^∗
• On oblique derivative problems for fully nonlinear second-order elliptic partial differential equations on nonsmooth domains
• Measurable relations
• Large deviations analysis of reflected diffusions and constrained stochastic approximation algorithms in convex sets^†
• Diffusion processes with boundary conditions