Explicit solutions of the extended Skorokhod problems in time-dependent bounded regions with orthogonal reflection fields

zbMATH Open1306.60026MaRDI QIDQ2879485FDOQ2879485

Authors: Marek Slaby 

Publication date: 2 September 2014

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: http://www.math.uni.wroc.pl/~pms/publicationsArticle.php?nr=33.1&nrA=8&ppB=121&ppE=148

Recommendations

• Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata
• An explicit representation of the extended Skorokhod map with two time-dependent boundaries
• Explicit representation of the Skorokhod map with time dependent boundaries
• The Skorokhod problem in a time-dependent interval
• The Skorohod oblique reflection problem in time-dependent domains

zbMATH Keywords

extended Skorokhod problemorthogonal reflection fieldstime-dependent constraining domain

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) General theory of stochastic processes (60G07)

Cited In (10)

• The Skorohod oblique reflection problem in time-dependent domains
• The Skorokhod problem in a time-dependent interval
• An explicit representation of the extended Skorokhod map with two time-dependent boundaries
• Regulating functions on partially ordered sets
• The Skorokhod problem with two nonlinear constraints
• Characterization of the optimal policy for a multidimensional parabolic singular stochastic control problem
• Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata
• Explicit representation of the Skorokhod map with time dependent boundaries
• Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains
• A lemma of variational distance between maximal functions with application to the skorokhod problem in a nonnegative orthant with state-dependent reflection directions

This page was built for publication: Explicit solutions of the extended Skorokhod problems in time-dependent bounded regions with orthogonal reflection fields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2879485)