A unified system of FB-SDEs with Lévy jumps and double completely-\(\mathcal{S}\) skew reflections

DOI10.4310/CMS.2018.v16.n3.a4zbMath1417.60048OpenAlexW2889244436MaRDI QIDQ1990545

Wan-yang Dai

Publication date: 25 October 2018

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/cms.2018.v16.n3.a4

zbMATH Keywords

stochastic differential equationweak convergencemutual informationMalliavin calculusqueueing networkbig dataSkorohod problemeconomic modelingLévy jumpcompletely-\(\mathcal{S}\) skew reflection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Queueing theory (aspects of probability theory) (60K25) Processes in random environments (60K37) Measures of information, entropy (94A17)

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