The Skorohod oblique reflection problem in time-dependent domains

DOI10.1214/10-AOP538zbMath1208.60077arXiv1011.2335MaRDI QIDQ606631

Kaj Nyström, Thomas Önskog

Publication date: 18 November 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.2335

zbMATH Keywords

time-dependent domainSkorohod reflection problemSkorohod topology, stochastic differential equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Convergence of probability measures (60B10) Boundary theory for Markov processes (60J50)

Related Items (10)

On directional derivatives of Skorokhod maps in convex polyhedral domains ⋮ Approximating diffusion reflections at elastic boundaries ⋮ Asymptotic optimal tracking: feedback strategies ⋮ Stochastic and partial differential equations on non-smooth time-dependent domains ⋮ Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls ⋮ Markov modulation of a two-sided reflected Brownian motion with application to fluid queues ⋮ Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains ⋮ Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata ⋮ Reflected BSDE of Wiener-Poisson type in time-dependent domains ⋮ Characterization of the Optimal Policy for a Multidimensional Parabolic Singular Stochastic Control Problem

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