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

DOI10.1080/07362999008809217zbMATH Open0725.60056OpenAlexW2038067222MaRDI QIDQ5203436FDOQ5203436

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

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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)

Cites Work

• Title not available (Why is that?)
• Diffusion processes with boundary conditions
• Title not available (Why is that?)
• Brownian motion in a wedge with oblique reflection
• Diffusion processes with continuous coefficients, I
• Title not available (Why is that?)

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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