Reflected diffusions in a non smooth region and an application to storage theory

DOI10.1080/07362999008809217MaRDI QIDQ5203436zbMATH OpenOpenAlexFDO

Authors Catherine Pallenberg

Publication date 1990

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999008809217

zbMATH Keywords

weak solutionssubmartingale problemstrong Markov process

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Recommendations

• The stationary distribution of reflected Brownian motion in a planar region
• Skorohod problems with nonsmooth boundary conditions
• Reflected diffusions defined via the extended Skorokhod map
• On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries
• Brownian motion in a wedge with oblique reflection

Cites work

• scientific article; zbMATH DE number 3837095 (Why is no real title available?)
• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• Brownian motion in a wedge with oblique reflection
• Diffusion processes with boundary conditions
• Diffusion processes with continuous coefficients, I

Cited in

(2)

• Exact distributions in a jump-diffusion storage model.
• Reflecting or sticky Markov processes with Lévy generators as the limit of storage processes

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