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

DOI10.1016/S0304-4149(97)00025-2zbMath0911.60038OpenAlexW2071986228MaRDI QIDQ1275931

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)

Related Items (21)

Spectral estimation for diffusions with random sampling times ⋮ Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games ⋮ Penalization for a PDE with a nonlinear Neumann boundary condition and measurable coefficients ⋮ Approximation for non-smooth functionals of stochastic differential equations with irregular drift ⋮ Pathwise uniqueness and non-explosion property of Skorohod SDEs with a class of non-Lipschitz coefficients and non-smooth domains ⋮ Existence of \(\beta\)-martingale solutions of stochastic evolution functional equations of parabolic type with measurable locally bounded coefficients ⋮ Distribution dependent reflecting stochastic differential equations ⋮ Limit theorems of invariant measures for multivalued McKean-Vlasov stochastic differential equations ⋮ Stochastic variational inequalities with oblique subgradients ⋮ Weak solutions of mean-field stochastic differential equations ⋮ Stability analysis of stochastic differential equations with the use of Lyapunov functions of constant sign ⋮ Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motion, discontinuous coefficients, and a partly degenerate diffusion operator ⋮ Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients ⋮ Existence theorems for solutions of stochastic differential equations with discontinuous right-hand sides ⋮ Stochastic Theta Method for a Reflected Stochastic Differential Equation ⋮ Existence of weak solutions of stochastic differential equations with discontinuous coefficients and with a partially degenerate diffusion operator ⋮ Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition ⋮ On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients ⋮ Stochastic equations with multidimensional drift driven by Levy processes ⋮ On existence of solutions of multivalued stochastic differential equations with discontinuous coefficients ⋮ Invariance for stochastic differential systems with time-dependent constraining sets

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On existence and stability of weak solutions of multidimensional stochastic differential equations with measurable coefficients
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary condition in convex regions
• Stopping times and tightness
• On existence, uniqueness and stability of solutions of multidimensional SDE's with reflecting boundary conditions
• On one-dimensional stochastic differential equations without drift and with time-dependent diffusion coefficients
• On Stochastic Differential Equations with Reflecting Barriers
• ON CONTROLLED DIFFUSION PROCESSES WITH UNBOUNDED COEFFICIENTS
• Stochastic differential equations with reflecting boundary conditions
• On weak solutions of one-dimensional SDEs with time-dependent coefficients
• Diffusion processes with boundary conditions

This page was built for publication: On stability and existence of solutions of SDEs with reflection at the boundary