Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains

DOI10.1080/17442508.2014.1000327zbMATH Open1337.60129OpenAlexW2003756141MaRDI QIDQ2804008FDOQ2804008

Authors Thomas Önskog, Kaj Nyström

Publication date 27 April 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2014.1000327

zbMATH Keywords

oblique reflectionstochastic differential equationsintegro-differential equationSkorohod problemtime-dependent domainLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Boundary theory for Markov processes (60J50)

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Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• On Stochastic Differential Equations with Reflecting Boundary Condition in Convex Domains
• On a decomposition of symmetric diffusions with reflecting boundary conditions.
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
• On the -distance between semimartingales reflecting in different domains>
• Penalization methods for reflecting stochastic differential equations with jumps
• Penalization methods for the Skorokhod problem and reflecting SDEs with jumps
• Reflected Brownian motion on an orthant
• Reflected diffusion processes with jumps
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with jump reflection at time-dependent barriers
• Stochastic differential equations with reflecting boundary conditions
• Stochastic differential equations with time-dependent reflecting barriers
• The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations
• The Skorohod oblique reflection problem in time-dependent domains
• The Skorokhod problem in a time-dependent interval

Cited in

(5)

• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps
• A McKean-Vlasov SDE and particle system with interaction from reflecting boundaries
• The Skorohod oblique reflection problem in time-dependent domains
• Non-convex sweeping processes in the space of regulated functions
• Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata

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