Stochastic differential equations with time-dependent reflecting barriers
From MaRDI portal
Publication:5411893
DOI10.1080/17442508.2011.651212zbMath1296.60175OpenAlexW2073308280MaRDI QIDQ5411893
Tomasz Wojciechowski, Leszek Slominski
Publication date: 25 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2011.651212
Related Items (11)
Backward stochastic differential equations with mean reflection and two constraints ⋮ SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation ⋮ SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation ⋮ Asymptotic optimal tracking: feedback strategies ⋮ Interlacing Diffusions ⋮ Mean reflected stochastic differential equations with two constraints ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ Nonparametric estimation of the trend in reflected fractional SDE ⋮ Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains ⋮ Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata ⋮ Optimal liquidity provision
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Skorokhod problem in a time-dependent interval
- Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
- Stability of strong solutions of stochastic differential equations
- On a stopped Doob's inequality and general stochastic equations
- Semimartingales: A course on stochastic processes
- Weak limit theorems for stochastic integrals and stochastic differential equations
- Stopping times and tightness
- Euler's approximations of solutions of SDEs with reflecting boundary.
- An explicit formula for the Skorokhod map on \([0,a\)]
- On the uniqueness of solutions of stochastic differential equations
- On the variation of the difference of singular components in the skorokhod problem and on stochastic differential systems in a half-space
- Strong Solutions of Stochastic Differential Equations with Boundary Conditions
- On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
This page was built for publication: Stochastic differential equations with time-dependent reflecting barriers