scientific article; zbMATH DE number 885486

zbMATH Open0849.60077MaRDI QIDQ4881401FDOQ4881401

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Publication date: 7 November 1996

Full work available at URL: https://eudml.org/doc/47530

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zbMATH Keywords

maximal functionsconvex polyhedronreflected diffusion processesSkorokhod oblique reflection problem

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (11)

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