Stochastic differential equations with jump reflection at the boundary

DOI10.1080/17442508008833144zbMath0429.60057OpenAlexW2081871594MaRDI QIDQ3866877

Philip E. Protter

Publication date: 1980

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508008833144

zbMATH Keywords

semimartingalesstochastic differential equationsjump reflection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (7)

Rigorous Justification of the Fokker--Planck Equations of Neural Networks Based on an Iteration Perspective ⋮ Wong-Zakai approximations for stochastic differential equations ⋮ On reflection with two-sided jumps ⋮ Steady-state GI/G/\(n\) queue in the Halfin-Whitt regime ⋮ Stochastic differential equations with jump reflection at time-dependent barriers ⋮ Integration stochastique multivoque et inclusions differentielles stochastiques ⋮ Mean-Variance Hedging in Large Financial Markets

Cites Work

• Reflexion discontinue et systèmes stochastiques
• Transformation des martingales locales par changement absolument continu de probabilities
• [https://portal.mardi4nfdi.de/wiki/Publication:4121258 Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques]

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