On stability and existence of solutions of SDEs with reflection at the boundary

DOI10.1016/S0304-4149(97)00025-2MaRDI QIDQ1275931zbMATH OpenOpenAlexWikidataFDO

Authors Andrzej Rozkosz, Leszek Slominski

Publication date 14 January 1999

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4149(97)00025-2

zbMATH Keywords

stabilitystochastic differential equationreflecting boundary condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

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• scientific article; zbMATH DE number 844004 (Why is no real title available?)
• On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
• Weak solutions of mean-field stochastic differential equations
• Existence theorems for solutions of stochastic differential equations with discontinuous right-hand sides
• Limit theorems of invariant measures for multivalued McKean-Vlasov stochastic differential equations
• On existence of solutions of multivalued stochastic differential equations with discontinuous coefficients
• Existence of weak solutions of stochastic differential equations with discontinuous coefficients and with a partially degenerate diffusion operator
• On the -distance between semimartingales reflecting in different domains>
• An existence theorem for weak solutions of stochastic differential equations with discontinuous right-hand sides and with reflection at the boundary
• Some remarks on approximation of solutions of SDE's with reflecting boundary conditions
• Stochastic Theta Method for a Reflected Stochastic Differential Equation
• Existence of \(\beta\)-martingale solutions of stochastic evolution functional equations of parabolic type with measurable locally bounded coefficients
• Distribution dependent reflecting stochastic differential equations
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• Stochastic equations with multidimensional drift driven by Levy processes
• Spectral estimation for diffusions with random sampling times
• Penalization for a PDE with a nonlinear Neumann boundary condition and measurable coefficients
• Weak solutions of mean-field stochastic differential equations and application to zero-sum stochastic differential games
• Stochastic variational inequalities with oblique subgradients
• SDEs with oblique reflection on nonsmooth domains
• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motion, discontinuous coefficients, and a partly degenerate diffusion operator
• Pathwise uniqueness and non-explosion property of Skorohod SDEs with a class of non-Lipschitz coefficients and non-smooth domains
• Approximation for non-smooth functionals of stochastic differential equations with irregular drift
• Invariance for stochastic differential systems with time-dependent constraining sets
• On Stochastic Differential Equations with Reflecting Boundary Condition in Convex Domains
• Stability analysis of stochastic differential equations with the use of Lyapunov functions of constant sign
• Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition
• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients

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