Forward equations for reflected diffusions with jumps
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Publication:1909386
DOI10.1007/BF01187963zbMath0841.60062OpenAlexW2051223197MaRDI QIDQ1909386
Fabrice M. Guillemin, Ravi R. Mazumdar
Publication date: 25 July 1996
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01187963
semimartingalesdiffusionslocal timereflectionsPalm probabilitiesforward equationsstochastic intensityrandom jump measures
Diffusion processes (60J60) Local time and additive functionals (60J55) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (6)
Boundary behavior and product-form stationary distributions of jump diffusions in the orthant with state-dependent reflections ⋮ On Neumann and oblique derivatives boundary conditions for nonlocal elliptic equations ⋮ Bouncing skew Brownian motions ⋮ Existence and characterization of product-form invariant distributions for state-dependent stochastic networks in the heavy-traffic diffusion limit ⋮ On product-form stationary distributions for reflected diffusions with jumps in the positive orthant ⋮ Birth and death processes in interactive random environments
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