scientific article; zbMATH DE number 1354281
nonlinear filteringprocesses with jumpsreflection of processesstochastic controlstochastic differential equations
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)
This book is a systematic study of stochastic differential equations (SDEs) with jumps and with a reflection term which forces the solution to remain in a domain. It begins with many technical results concerning one-dimensional SDEs with jumps (local time of semimartingales, Itô-Tanaka formula, Krylov estimates, existence and uniqueness results, comparison of solutions,\dots); in particular, SDEs with non continuous coefficients are considered. Then, after recalling some results concerning the Skorokhod problem, the main topic of the book is dealt with, and properties of reflecting SDEs with jumps are studied; in particular, existence of weak and strong solutions is worked out (weak solutions are obtained from a Girsanov theorem), and the uniqueness is studied after stability and comparison theorems. The last three chapters are devoted to applications, namely nonlinear filtering, stochastic control, in particular stochastic population control. Some of the results were published by the author in the 80's, and many others are new and unpublished. The book is written in a technical style (and is therefore sometimes hard to read). The author tries to obtain the weakest assumptions in his theorems, so this should be of interest to specialists who have to deal with systems with unusual conditions.
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- Càdlàg Skorokhod problem driven by a maximal monotone operator
- An introduction to stochastic differential equations with reflection
- Boundary behavior and product-form stationary distributions of jump diffusions in the orthant with state-dependent reflections
- On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
- Existence and uniqueness of perturbed reflected jump diffusion processes
- Mean reflected stochastic differential equations with jumps
- Stochastic population control and RSDE with jumps
- Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
- On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces
- Stochastic differential equations with jump reflection at time-dependent barriers
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