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

DOI10.1080/17442508.2014.1000327zbMATH Open1337.60129OpenAlexW2003756141MaRDI QIDQ2804008FDOQ2804008

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)

Cites Work

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• On the -distance between semimartingales reflecting in different domains>

Cited In (3)

• Non-convex sweeping processes in the space of regulated functions
• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps
• A McKean--Vlasov SDE and Particle System with Interaction from Reflecting Boundaries

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