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

DOI10.1016/S0304-4149(97)00025-2zbMATH Open0911.60038OpenAlexW2071986228WikidataQ131317073 ScholiaQ131317073MaRDI QIDQ1275931FDOQ1275931

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

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zbMATH Keywords

stabilitystochastic differential equationreflecting boundary condition

Mathematics Subject Classification ID

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

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• ON CONTROLLED DIFFUSION PROCESSES WITH UNBOUNDED COEFFICIENTS
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Cited In (28)

• Title not available (Why is that?)
• On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
• Existence theorems for solutions of stochastic differential equations with discontinuous right-hand sides
• Weak solutions of mean-field stochastic differential equations
• Limit theorems of invariant measures for multivalued McKean-Vlasov stochastic differential equations
• On existence of solutions of multivalued stochastic differential equations with discontinuous coefficients
• On the -distance between semimartingales reflecting in different domains>
• Existence of weak solutions of stochastic differential equations with discontinuous coefficients and with a partially degenerate diffusion operator
• 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
• Distribution dependent reflecting stochastic differential equations
• Existence of \(\beta\)-martingale solutions of stochastic evolution functional equations of parabolic type with measurable locally bounded coefficients
• Title not available (Why is that?)
• Penalization for a PDE with a nonlinear Neumann boundary condition and measurable coefficients
• Stochastic equations with multidimensional drift driven by Levy processes
• Spectral estimation for diffusions with random sampling times
• 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
• Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games
• 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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