Skorohod problems with nonsmooth boundary conditions
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Publication:1196862
DOI10.1016/0377-0427(92)90108-AzbMath0753.60072MaRDI QIDQ1196862
Publication date: 16 January 1993
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
existence of a weak solution; reflection at the boundary; path-by-path construction of a diffusion process
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60: Diffusion processes
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Cites Work
- Reflected diffusion processes with jumps
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- Stochastic differential equations with reflecting boundary condition in convex regions
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