Reflected stochastic partial differential equations with jumps

DOI10.1142/S0219493722500022MaRDI QIDQ5065041zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

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

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
• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflection of stochastic evolution equations in infinite dimensional domains
• Systems of reflected stochastic PDEs in a convex domain: analytical approach
• Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection
• scientific article; zbMATH DE number 5812589 (Why is no real title available?)
• Jump-diffusions in Hilbert spaces: existence, stability and numerics
• White noise driven SPDEs with oblique reflection: existence and uniqueness
• Mean reflected stochastic differential equations with jumps
• Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations

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