ANTICIPATING MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH REFLECTIONS

DOI10.1142/S0219493708002329MaRDI QIDQ3520409zbMATH OpenOpenAlexFDO

Authors Zongxia Liang

Publication date 26 August 2008

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219493708002329

zbMATH Keywords

anticipating Stratonovich integralssubstitution formulas

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Boundary theory for Markov processes (60J50) Local time and additive functionals (60J55)

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Cites work

• scientific article; zbMATH DE number 44587 (Why is no real title available?)
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• Anticipative portfolio optimization
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• Ito formula for \(C^ 1\)-functions of semimartingales
• Multivalued Skorohod problem
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• Skorohod problem and multivalued stochastic evolution equations in Banach spaces
• Spatial asymptotic behavior of homeomorphic global flows for non-Lipschitz SDEs
• Stochastic Differential Equation Driven by Countably Many Brownian Motions with Non-Lipschitzian Coefficients
• Stochastic differential equations driven by spatial parameters semimartingale with non-Lipschitz local characteristic
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• The generalized covariation process and Itô formula

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