Penalization methods for reflecting stochastic differential equations with jumps

DOI10.1080/1045112031000155687MaRDI QIDQ4451272zbMATH OpenOpenAlexFDO

Authors Weronika Łaukajtys, Leszek Slominski

Publication date 23 February 2004

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1045112031000155687

zbMATH Keywords

stochastic differential equationpenalization methodSkorokhod problemreflecting stochastic differential equation

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic integral equations (60H20)

Recommendations

• Penalization methods for the Skorokhod problem and reflecting SDEs with jumps
• Stochastic differential equations with jump reflection at time-dependent barriers
• scientific article; zbMATH DE number 1850754
• Penalisation techniques for one-dimensional reflected rough differential equations
• Reflected diffusion processes with jumps

Cited in

(20)

• Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions
• Càdlàg rough differential equations with reflecting barriers
• Penalising symmetric stable Lévy paths
• Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions
• Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
• New characterizations of the \(S\) topology on the Skorokhod space
• Càdlàg Skorokhod problem driven by a maximal monotone operator
• Reflected Brownian motion with singular drift
• Large Deviations for Additive Functionals of Reflected Jump-Diffusions
• A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
• Penalization for a PDE with a nonlinear Neumann boundary condition and measurable coefficients
• Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
• Penalty method for obliquely reflected diffusions
• Penalization methods for the Skorokhod problem and reflecting SDEs with jumps
• Multivalued monotone stochastic differential equations with jumps
• White noise driven SPDEs with oblique reflection: existence and uniqueness
• Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains
• Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition
• Stochastic variational inequalities with jumps
• Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process

This page was built for publication: Penalization methods for reflecting stochastic differential equations with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4451272)