scientific article; zbMATH DE number 1354281

MaRDI QIDQ4268612zbMATH OpenFDO

Authors Situ Rong

Publication date 28 October 1999

zbMATH Keywords

stochastic controlstochastic differential equationsnonlinear filteringprocesses with jumpsreflection of processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)

Recommendations

• Theory of stochastic differential equations with jumps and applications.
• An introduction to stochastic differential equations with reflection
• Mean reflected stochastic differential equations with jumps
• Stochastic differential equations with jump reflection at time-dependent barriers

Cited in

(11)

• Existence and uniqueness of perturbed reflected jump diffusion processes
• Càdlàg Skorokhod problem driven by a maximal monotone operator
• On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces
• 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
• Stochastic differential equations with jump reflection at time-dependent barriers
• Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
• Stochastic population control and RSDE with jumps
• On Solutions of Forward‐Backward Stochastic Differential Equations with Poisson Jumps
• Backward stochastic differential equations with two barriers and generalized reflection
• Mean reflected stochastic differential equations with jumps

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