Forward equations for reflected diffusions with jumps

DOI10.1007/BF01187963MaRDI QIDQ1909386zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

diffusionsforward equationslocal timePalm probabilitiesrandom jump measuresreflectionssemimartingalesstochastic intensity

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cited in

(9)

• Comparison results for reflected jump-diffusions in the orthant with variable reflection directions and stability applications
• Bouncing skew Brownian motions
• Birth and death processes in interactive random environments
• On Neumann and oblique derivatives boundary conditions for nonlocal elliptic equations
• Existence and characterization of product-form invariant distributions for state-dependent stochastic networks in the heavy-traffic diffusion limit
• Boundary behavior and product-form stationary distributions of jump diffusions in the orthant with state-dependent reflections
• On product-form stationary distributions for reflected diffusions with jumps in the positive orthant
• scientific article; zbMATH DE number 5499200 (Why is no real title available?)
• Diffusions with reflection on an orthant and associated initial-boundary value problems

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