Stochastic differential equations with reflecting boundary condition in convex regions

Cited In (only showing first 100 items - show all)

Propagation of chaos for diffusing particles of two types with singular mean field interaction
On the singular control of exchange rates
On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
Reconstruction algorithm for unknown cavities via Feynman-Kac type formula
Reflected backward stochastic differential equations with jumps in time-dependent random convex domains
Strong convergence rate for multivalued stochastic differential equations via stochastic theta method
A multidimensional process involving local time
On Poincaré and Logarithmic Sobolev Inequalities for a Class of Singular Gibbs Measures
Pathwise differentiability for SDEs in a convex polyhedron with oblique reflection
Limit distribution of a one-dimensional reflecting process of jump type
Birth and death processes in interactive random environments
Some remarks on approximation of solutions of SDE's with reflecting boundary conditions
Càdlàg Skorokhod problem driven by a maximal monotone operator
Markov selection for constrained martingale problems
A McKean-Vlasov SDE and particle system with interaction from reflecting boundaries
The rates of the \(L^p\)-convergence of the Euler-Maruyama and Wong-Zakai approximations of path-dependent stochastic differential equations under the Lipschitz condition
Evolution problems in spaces of probability measures
Nonstationary dissipative evolution equations in a Hilbert space
A mean field game model of firm-level innovation
Integration by parts formulae for Wiener measures on a path space between two curves
Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance
Backward doubly SDEs and semilinear stochastic PDEs in a convex domain
Statistical estimation in a randomly structured branching population
Optimal Dividends Under Model Uncertainty
On directional derivatives of Skorokhod maps in convex polyhedral domains
Penalty method for obliquely reflected diffusions
On reflected Stratonovich stochastic differential equations
A diffusion process in a singular mean-drift-field
Regulating functions on partially ordered sets
The Convergence Problem in Mean Field Games with Neumann Boundary Conditions
Penalization methods for the Skorokhod problem and reflecting SDEs with jumps
Stochastic variational inequalities associated with elasto-plastic torsion
Differential inclusions with nonstationary maximal monotone operators
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
Multivalued monotone stochastic differential equations with jumps
Stochastic and partial differential equations on non-smooth time-dependent domains
Approximation from the exterior of a multifunction and its applications in the sweeping process
Stochastic differential equations with jump reflection at time-dependent barriers
Brownian motion in a wedge with variable reflection: Existence and uniqueness
Reflecting or sticky Markov processes with Lévy generators as the limit of storage processes
Stabilities of shape identification inverse problems in a Bayesian framework
Extremes, rainflow cycles and damage functionals in continuous random processes
On a degenerate variational inequality with Neumann boundary conditions
Sampling from a log-concave distribution with projected Langevin Monte Carlo
Propagation of chaos for aggregation equations with no-flux boundary conditions and sharp sensing zones
Invariance for stochastic differential systems with time-dependent constraining sets
A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion
White noise driven SPDEs with oblique reflection: existence and uniqueness
Construction and strong Feller property of distorted elliptic diffusion with reflecting boundary
Long time behaviour and mean-field limit of Atlas models
Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
Projection scheme for stochastic differential equations with convex constraints.
Metastability in stochastic replicator dynamics
Title not available (Why is that?)
Approximating diffusion reflections at elastic boundaries
Reflected stochastic differential equations driven by \(G\)-Brownian motion with nonlinear resistance
Uniqueness and regularity for a system of interacting Bessel processes via the Muckenhoupt condition
Efficient Bayesian Computation for Low-Photon Imaging Problems
Stochastic differential equations for multi-dimensional domain with reflecting boundary
Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces. II
Large deviations for a simple closed queueing model
Limit non-stationary behavior of large closed queueing networks with bottlenecks
Reflected rough differential equations
A multitype sticky particle construction of Wasserstein stable semigroups solving one-dimensional diagonal hyperbolic systems with large monotonic data
Pathwise uniqueness for a SDE with non-Lipschitz coefficients.
Diffusion approximation for \(GI/G/1\) controlled queues
Structural properties of reflected Lévy processes
Reflected Brownian motion with skew symmetric data in a polyhedral domain
Probabilistic approximation for a porous medium equation.
A note on first passage probabilities of a Lévy process reflected at a general barrier
Reflection couplings and contraction rates for diffusions
Asymptotic replication with modified volatility under small transaction costs
The Skorohod oblique reflection problem in time-dependent domains
Reflected stochastic differential equations driven by \(G\)-Brownian motion in non-convex domains
On reflected Dirichlet spaces
Bismut-Elworthy's formula and random walk representation for SDEs with reflection
Obliquely reflected backward stochastic differential equations
On approximate continuity and the support of reflected stochastic differential equations
Shy couplings
Noncoalescence for the Skorohod equation in a convex domain of \({\mathbb{R}}^ 2\)
Stochastic variational inequalities of parabolic type
Strong convergence of Wong-Zakai approximations of reflected SDEs in a multidimensional general domain
An explicit formula for the Skorokhod map on \([0,a]\)
Hitting time of a corner for a reflected diffusion in the square
Modelling biochemical reaction systems by stochastic differential equations with reflection
A propagation of chaos result for Burgers' equation
Support d'un processus de r�flexion
An infinite system of Brownian balls with infinite range interaction.
A system of infinitely many mutually reflecting Brownian balls in \(\mathbb{R}^ d\)
\(L^2\)-tracking of Gaussian distributions via model predictive control for the Fokker-Planck equation
On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
An explicit representation of the extended Skorokhod map with two time-dependent boundaries
The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations
Stochastic variational inequalities with oblique subgradients
Evolution equations governed by the sweeping process
A remark on infinite-dimensional Wiener processes with interactions
An approximation scheme for reflected stochastic differential equations
Forward and backward filtering based on backward stochastic differential equations
Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity
Multivalued Skorohod problem

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