SDEs with oblique reflection on nonsmooth domains

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Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
Approximating diffusion reflections at elastic boundaries
Diffusion Limits for Open Networks of Finite-Buffer Queues
Stochastic differential equations for multi-dimensional domain with reflecting boundary
Existence and uniqueness of reflecting diffusions in cusps
Limit theorems and the support of SDES with oblique reflections on nonsmooth domains
Càdlàg rough differential equations with reflecting barriers
An existence theorem for weak solutions of stochastic differential equations with discontinuous right-hand sides and with reflection at the boundary
Pathwise differentiability for SDEs in a convex polyhedron with oblique reflection
Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
Coupled stochastic systems of Skorokhod type: Well‐posedness of a mathematical model and its applications
Large deviations principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections
An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients
Reflected Brownian motion with singular drift
Multidimensional insurance model with risk-reducing treaty
Markov selection for constrained martingale problems
The Skorohod oblique reflection problem in time-dependent domains
Large Deviations for Additive Functionals of Reflected Jump-Diffusions
Interbank lending with benchmark rates: Pareto optima for a class of singular control games
Dynamical systems and variational inequalities
Singular control of the drift of a Brownian system
Exponential ergodicity for reflected SDEs with interaction in a multidimensional general domain
Obliquely reflected backward stochastic differential equations
Existence and characterization of product-form invariant distributions for state-dependent stochastic networks in the heavy-traffic diffusion limit
Numerical approximations for stochastic systems with delays in the state and control
State-dependent stochastic networks. I: Approximation and applications with continuous diffusion limits
Stochastic games for fuel follower problem: \(N\) versus mean field game
Continuous-time random walks for the numerical solution of stochastic differential equations
Infinitely many Brownian globules with Brownian radii
The submartingale problem for a class of degenerate elliptic operators
On constrained Langevin equations and (bio)chemical reaction networks
Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
Stationary distributions for diffusions with inert drift
A reverse ergodic theorem for inhomogeneous killed Markov chains and application to a new uniqueness result for reflecting diffusions
Stochastic variational inequalities with oblique subgradients
Penalty method for obliquely reflected diffusions
Particle representations for stochastic partial differential equations with boundary conditions
Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
Multi-dimensional BSDE with oblique reflection and optimal switching
Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity
An optimal extraction problem with price impact
Stochastic variational inequalities on non-convex domains
Pathwise uniqueness and non-explosion property of Skorohod SDEs with a class of non-Lipschitz coefficients and non-smooth domains
Skorohod problems with nonsmooth boundary conditions
A \(d\)-person differential game with state space constraints
Stochastic and partial differential equations on non-smooth time-dependent domains
Some applications of linear programming formulations in stochastic control
A characterization of the reflected quasipotential
Simple bounds for utility maximization with small transaction costs
Irreversible reinsurance: a singular control approach
Non-Markovian state-dependent networks in critical loading
Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies
Brownian motion in a wedge with variable reflection: Existence and uniqueness
Hedging under an expected loss constraint with small transaction costs
Obliquely reflected Brownian motion in nonsmooth planar domains
Pathwise differentiability for SDEs in a smooth domain with reflection
Euler's approximations of solutions of SDEs with reflecting boundary.
A Dirichlet process characterization of a class of reflected diffusions
Invariance for stochastic differential systems with time-dependent constraining sets
Optimal liquidation under stochastic liquidity
Spinning Brownian motion
A semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with oblique derivatives boundary conditions
Strong solutions to reflecting stochastic differential equations with singular drift
Multi-dimensional BSDEs with mean reflection
On Stochastic Differential Equations with Reflecting Boundary Condition in Convex Domains
White noise driven SPDEs with oblique reflection: existence and uniqueness
Skorokhod decomposition for a reflected \(\mathcal{L}^p\)-strong Feller diffusion with singular drift
Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers
An invariance principle for semimartingale reflecting Brownian motions in domains with piecewise smooth boundaries
A Singular Stochastic Control Problem with Interconnected Dynamics
SDEs with oblique reflections on nonsmooth domains
Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach
Optimal consumption of a divisible durable good
The heat equation and reflected Brownian motion in time-dependent domains.
On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries
Numerical methods for controls for nonlinear stochastic systems with delays and jumps: applications to admission control
Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains

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