Reflected stochastic partial differential equations with jumps

DOI10.1142/S0219493722500022zbMATH Open1492.60195OpenAlexW3197071660WikidataQ115245728 ScholiaQ115245728MaRDI QIDQ5065041FDOQ5065041

Authors: Hongchao Qian, Jun Peng 

Publication date: 18 March 2022

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493722500022

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zbMATH Keywords

jumpspenalizationreflectionstochastic partial differential equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) PDEs with randomness, stochastic partial differential equations (35R60) Jump processes on discrete state spaces (60J74)

Cites Work

• White noise driven quasilinear SPDEs with reflection
• White noise driven SPDEs with reflection
• Option pricing when underlying stock returns are discontinuous
• A reflected stochastic heat equation as symmetric dynamics with respect to the 3-d Bessel bridge
• Hitting properties of parabolic s.p.d.e.'s with reflection.
• White noise driven SPDEs with reflection: Strong Feller properties and Harnack inequalities
• Stochastic evolution equations of jump type: Existence, uniqueness and large deviation princi\-ples
• Applied stochastic control of jump diffusions.
• Ergodicity of linear SPDE driven by Lévy noise
• Reflected diffusion processes with jumps
• Poincaré inequality for linear SPDE driven by Lévy noise
• Systems of stochastic partial differential equations with reflection: existence and uniqueness
• White noise driven SPDEs with oblique reflection: existence and uniqueness
• Maximum principle for quasi-linear reflected backward SPDEs
• Reflected backward stochastic partial differential equations in a convex domain
• Homogenization of Multivalued Partial Differential Equations via Reflected Backward Stochastic Differential Equations

Cited In (14)

• Existence and uniqueness of perturbed reflected jump diffusion processes
• Systems of stochastic partial differential equations with reflection: existence and uniqueness
• Reflected backward stochastic partial differential equations with jumps in a convex domain
• Reflected diffusion processes with jumps
• LIMIT OF SOLUTIONS OF A SPDE DRIVEN BY MARTINGALE MEASURE WITH REFLECTION
• Reflection of stochastic evolution equations in infinite dimensional domains
• Reflected backward stochastic differential equation with jumps and random obstacle
• Systems of reflected stochastic PDEs in a convex domain: analytical approach
• Title not available (Why is that?)
• Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection
• Jump-diffusions in Hilbert spaces: existence, stability and numerics
• White noise driven SPDEs with oblique reflection: existence and uniqueness
• Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations
• Mean reflected stochastic differential equations with jumps

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