On Stochastic Differential Equations with Reflecting Barriers

DOI10.1002/MANA.19891420109MaRDI QIDQ3477753zbMATH OpenOpenAlexFDO

Authors Wolfgang M. Schmidt

Publication date 1989

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mana.19891420109

zbMATH Keywords

reflecting barriersstochastic differential equations without driftWiener process with reflecting barriers

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Calcul stochastique et problèmes de martingales
• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• Integral representation with respect to stopped continuous local martingales

Cited in

(18)

• On stability and existence of solutions of SDEs with reflection at the boundary
• Stochastic integral equations for Walsh semimartingales
• A zero-sum game between a singular stochastic controller and a discretionary stopper
• On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
• One-dimensional stochastic differential equations with generalized and singular drift
• Skew Ornstein-Uhlenbeck processes and their financial applications
• A note on the existence and uniqueness of a bounded mean-reverting prosess
• The two-barrier problem for continuously differentiable processes
• On reflected solutions of stochasticdifferential equations with ordinary drift
• On symmetric and skew Bessel processes
• Markov processes with spatial delay: path space characterization, occupation time and properties
• Stochastic differential equations with time-dependent reflecting barriers
• On existence and uniqueness of reflected solutions of stochastic equations driven by symmetric stable processes
• Computational Science - ICCS 2004
• Sticky Brownian motions and a probabilistic solution to a two-point boundary value problem
• A singular control model with application to the goodwill problem
• Stochastic differential equations with jump reflection at time-dependent barriers
• A singular control problem with an expected and a pathwise ergodic performance criterion

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