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 domain; Skorohod reflection problem; Skorohod topology, stochastic differential equations

Mathematics Subject Classification ID

60J60: Diffusion processes

60B10: Convergence of probability measures

60J50: Boundary theory for Markov processes

Related Items

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The heat equation in time dependent domains with insulated boundaries
• Some results on stochastic differential equations with reflecting boundary conditions
• Reflected diffusions defined via the extended Skorokhod map
• Boundary sensitivities for diffusion processes in time dependent domains
• SDEs with oblique reflections on nonsmooth domains
• Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity
• The Skorokhod problem in a time-dependent interval
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• A Skorokhod problem formulation and large deviation analysis of a processor sharing model
• 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
• On the equation describing the random motion of mutually reflecting molecules
• The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations
• Skorohod problems with nonsmooth boundary conditions
• Lyapunov functions for semimartingale reflecting Brownian motions
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• On the stability of the linear Skorokhod problem in an orthant
• The heat equation and reflected Brownian motion in time-dependent domains. II: Singularities of solutions.
• Pathwise uniqueness for reflecting Brownian motion in Euclidean domains
• Brownian motion reflected on Brownian motion
• Large deviations and queueing networks: Methods for rate function identification
• A differential game with constrained dynamics and viscosity solutions of a related HJB equation
• A note on reflecting Brownian motions
• Fluid and heavy traffic diffusion limits for a generalized processor sharing model
• The heat equation and reflected Brownian motion in time-dependent domains.
• Boundary trace of reflecting Brownian motions
• A Skorokhod-type lemma and a decomposition of reflected Brownian motion
• Convex duality and the Skorokhod problem. I
• Convex duality and the Skorokhod problem. II
• SDEs with oblique reflection on nonsmooth domains
• An invariance principle for semimartingale reflecting Brownian motions in domains with piecewise smooth boundaries
• An explicit formula for the Skorokhod map on \([0,a\)]
• The heavy traffic limit of an unbalanced generalized processor sharing model
• An insurance network: Nash equilibrium
• A Subsidy-Surplus Model and the Skorokhod Problem in an Orthant
• Weak Approximation of Obliquely Reflected Diffusions on Time-dependent Domains
• Open Queueing Networks in Heavy Traffic
• Regulations dÉterminates et stochastiques dans le premier “orthant” de R^N
• Stochastic differential equations with reflecting boundary conditions
• A viability approach to the skorohod problem
• A new approach to the skorohod problem, and its applications
• A new approach to the Skorohod problem, and its applications
• Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
• Optimal Policies forn-Dimensional Singular Stochastic Control Problems Part I: The Skorokhod Problem
• Strong Approximations for Time-Dependent Queues
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
• A multiclass feedback queueing network with a regular Skorokhod problem