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

MaRDI QIDQ2879485zbMATH OpenFDO

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

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)

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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

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