A lemma of variational distance between maximal functions with application to the skorokhod problem in a nonnegative orthant with state-dependent reflection directions
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Cites work
- scientific article; zbMATH DE number 21289 (Why is no real title available?)
- On the variation of the difference of singular components in the skorokhod problem and on stochastic differential systems in a half-space
- Open Queueing Networks in Heavy Traffic
- Reflected Brownian motion on an orthant
- Stochastic differential equations with reflecting boundary conditions
- Weak convergence of probability measures and random functions in the function space D[0,∞)
Cited in
(11)- scientific article; zbMATH DE number 885486 (Why is no real title available?)
- Reflected backward stochastic differential equations in an orthant
- Reflecting diffusions in an orthant: An introduction
- Multidimensional insurance model with risk-reducing treaty
- Existence and characterization of product-form invariant distributions for state-dependent stochastic networks in the heavy-traffic diffusion limit
- Regulating functions on partially ordered sets
- A \(d\)-person differential game with state space constraints
- An insurance network: Nash equilibrium
- Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach
- Variational problem in the non-negative orthant of \(\mathbb{R}^{3}\): reflective faces and boundary influence cones
- On viscosity solution of HJB equations with state constraints and reflection control
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