A unified system of FB-SDEs with Lévy jumps and double completely-S skew reflections

DOI10.4310/CMS.2018.V16.N3.A4MaRDI QIDQ1990545zbMATH OpenOpenAlexFDO

Authors Wanyang 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

big datacompletely-\(\mathcal{S}\) skew reflectioneconomic modelingLévy jumpMalliavin calculusmutual informationqueueing networkSkorohod problemstochastic differential equationweak convergence

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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