scientific article; zbMATH DE number 885486

MaRDI QIDQ4881401zbMATH OpenFDO

Authors

Publication date 7 November 1996

Full work available at URL https://eudml.org/doc/47530, http://www.emis.de/journals/GMJ/vol3/contents.htm

IPFS File on IPFS (Hint: this is only the Hash - if you get a timeout, this file is not available on our server.)

zbMATH Keywords

maximal functionsconvex polyhedronreflected diffusion processesSkorokhod oblique reflection problem

Mathematics Subject Classification ID

Diffusion processes (60J60) Boundary theory for Markov processes (60J50)

Recommendations

• The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations
• The Skorohod oblique reflection problem in time-dependent domains
• A remark on Skorokhod topologies for the Skorokhod reflection problem
• Reflected backward SDEs in a convex polyhedron
• scientific article; zbMATH DE number 2157475
• Reflected Brownian motion with skew symmetric data in a polyhedral domain
• On directional derivatives of Skorokhod maps in convex polyhedral domains
• Publication:4729078

Cites work

• A lemma of variational distance between maximal functions with application to the skorokhod problem in a nonnegative orthant with state-dependent reflection directions
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
• Open Queueing Networks in Heavy Traffic
• Reflected Brownian motion on an orthant
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary condition in convex regions
• Stochastic differential equations with reflecting boundary conditions
• The diffusion approximation for tandem queues in heavy traffic
• Weak convergence of probability measures and random functions in the function space D[0,∞)

Cited in

(11)

• A remark on Skorokhod topologies for the Skorokhod reflection problem
• Convex duality and the Skorokhod problem. I
• About the infinite dimensional skew and obliquely reflected Ornstein-Uhlenbeck process
• A lemma of variational distance between maximal functions with application to the skorokhod problem in a nonnegative orthant with state-dependent reflection directions
• On directional derivatives of Skorokhod maps in convex polyhedral domains
• The Skorohod oblique reflection problem in time-dependent domains
• Skorohod problems with nonsmooth boundary conditions
• Reflected backward stochastic differential equations in an orthant
• Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains
• Pathwise differentiability for SDEs in a convex polyhedron with oblique reflection
• Reflected backward SDEs in a convex polyhedron

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4881401)