Stochastic differential equations with time-dependent reflecting barriers

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

zbMATH Keywords

Skorokhod problemreflecting stochastic differential equationstime-dependent reflecting barriers

Mathematics Subject Classification ID

Sample path properties (60G17) Stochastic integral equations (60H20)

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

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