On lipschitz continuity of the solution mapping to the skorokhod problem, with applications

DOI10.1080/17442509108833688zbMATH Open0721.60062OpenAlexW2041459929MaRDI QIDQ5753301FDOQ5753301

Authors: Paul Dupuis, Hitoshi Ishii 

Publication date: 1991

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509108833688

Recommendations

• Lipschitz continuity of polyhedral Skorokhod maps
• On a class of functionals continuous in the Skorokhod topology
• Uniqueness for the Skorokhod equation with normal reflection in Lipschitz domains
• Skorokhod decomposition of reflected diffusions on bounded Lipschitz domains with singular non-reflection part
• Integrability of solutions of the Skorokhod embedding problem for diffusions
• \(L^{p}\) solutions of BSDEs with stochastic Lipschitz condition
• Uniform \(L^p\)-continuity of the solution of stochastic differential equations
• Continuity properties of the extension of a locally Lipschitz continuous map to the space of probability measures

zbMATH Keywords

Lipschitz continuitySkorokhod problemstochastic differential equations with reflectionstochastic approximation schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (only showing first 100 items - show all)

• Title not available (Why is that?)
• Large deviation properties of data streams that share a buffer
• Fluid and heavy traffic diffusion limits for a generalized processor sharing model
• Weak differentiability of scalar hysteresis operators
• Large deviation properties of constant rate data streams sharing a buffer with long-range dependent traffic in critical loading
• Stability of constrained Markov-modulated diffusions
• Diffusion approximation for signaling stochastic networks
• A differential game formulation of a controlled network
• The Brownian approximation for rate-control throttles and the \(G/G/1/C\) queue
• Reflected rough differential equations
• Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant
• Large deviations for two-time-scale diffusions, with delays
• Pathwise differentiability for SDEs in a convex polyhedron with oblique reflection
• Diffusion approximation for \(GI/G/1\) controlled queues
• Exit time and invariant measure asymptotics for small noise constrained diffusions
• Some remarks on approximation of solutions of SDE's with reflecting boundary conditions
• Controlled stochastic networks in heavy traffic: convergence of value functions
• A time-reversed representation for the tail probabilities of stationary reflected Brownian motion.
• ON BOUNCING GEOMETRIC BROWNIAN MOTIONS
• Concentration for multidimensional diffusions and their boundary local times
• Fluid limits of optimally controlled queueing networks
• Many-server asymptotics for join-the-shortest-queue: large deviations and rare events
• The Skorohod oblique reflection problem in time-dependent domains
• Dynamical systems and variational inequalities
• Weak convergence and fluid limits in optimal time-to-empty queueing control problems
• Numerical approximations for stochastic systems with delays in the state and control
• Double-layer and hybrid dynamics of equilibrium problems: applications to markets of environmental products
• A remark on the local Lipschitz continuity of vector hysteresis operators.
• State-dependent stochastic networks. I: Approximation and applications with continuous diffusion limits
• Controlled nonlinear stochastic delay equations: Part I: Modeling and approximations
• Nonpivot and implicit projected dynamical systems on Hilbert spaces
• Monotonicity and existence of periodic orbits for projected dynamical systems on Hilbert spaces
• Filtrage d'une diffusion reflechie a sauts, observee a travers un processus ponctuel marque
• Stability and paracontractivity of discrete linear inclusions
• Singular control with state constraints on unbounded domain
• On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
• Title not available (Why is that?)
• Penalty method for obliquely reflected diffusions
• Stochastic variational inequalities with oblique subgradients
• Large deviations and importance sampling for a tandem network with slow-down
• Boundary-influenced robust controls: two network examples
• Sensitivity analysis for diffusion processes constrained to an orthant
• Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity
• A geometric drift inequality for a reflected fractional Brownian motion process on the positive orthant
• On the return time for a reflected fractional Brownian motion process on the positive orthant
• BSDEs with terminal conditions that have bounded Malliavin derivative
• Multivalued Skorohod problem
• On positive recurrence of constrained diffusion processes
• Sample path large deviations for multiclass feedforward queueing networks in critical loading
• Skorohod problems with nonsmooth boundary conditions
• The projection dynamic and the geometry of population games
• A characterization of the reflected quasipotential
• Stochastic differential equations with jump reflection at time-dependent barriers
• The heavy traffic limit of an unbalanced generalized processor sharing model
• On moment stability properties for a class of state-dependent stochastic networks
• Long time asymptotics for constrained diffusions in polyhedral domains
• Convex duality and the Skorokhod problem. I
• Dynamics of vaccination strategies via projected dynamical systems
• A differential game with constrained dynamics and viscosity solutions of a related HJB equation
• Large deviations and queueing networks: Methods for rate function identification
• Euler's approximations of solutions of SDEs with reflecting boundary.
• Approximations for stochastic differential equations with reflecting convex boundaries
• Wong-Zakai Approximation of Solutions to Reflecting Stochastic Differential Equations on Domains in Euclidean Spaces II
• Fractional Brownian heavy traffic approximations of multiclass feedforward queueing networks
• \(V\)-uniform ergodicity for state-dependent single class queueing networks
• Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
• Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion
• Sweeping by a continuous prox-regular set
• Lipschitz continuity of polyhedral Skorokhod maps
• On the Generalized Drift Skorokhod Problem in One Dimension
• A McKean--Vlasov SDE and Particle System with Interaction from Reflecting Boundaries
• Concentration of measure for Brownian particle systems interacting through their ranks
• State-dependent importance sampling for a slowdown tandem queue
• A Panoramic View on Projected Dynamical Systems
• Double-layered dynamics: a unified theory of projected dynamical systems and evolutionary variational inequalities
• Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions
• A Jackson network under general regime
• Pathwise differentiability of reflected diffusions in convex polyhedral domains
• Càdlàg rough differential equations with reflecting barriers
• Large Deviations for the Single-Server Queue and the Reneging Paradox
• Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
• A note on the composition of regular functions
• Equilibrium Model of Limit Order Books: A Mean-Field Game View
• Large deviations principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections
• A projected dynamic system associated with a cybersecurity investment model with budget constraints and fixed demands
• Stochastic Theta Method for a Reflected Stochastic Differential Equation
• Excessive backlog probabilities of two parallel queues
• The inert drift atlas model
• Stochastic differential equations with time-dependent reflecting barriers
• Non-Markovian State-Dependent Networks in Critical Loading
• Rough differential equations containing path-dependent bounded variation terms
• Large Deviations for Additive Functionals of Reflected Jump-Diffusions
• Interbank lending with benchmark rates: Pareto optima for a class of singular control games
• The rates of the \(L^p\)-convergence of the Euler-Maruyama and Wong-Zakai approximations of path-dependent stochastic differential equations under the Lipschitz condition
• Sensitivity Analysis for the Stationary Distribution of Reflected Brownian Motion in a Convex Polyhedral Cone
• Sample path moderate deviations for the cumulative fluid produced by an increasing number of exponential on-off sources
• Nonsmooth dynamics of generalized Nash games
• On directional derivatives of Skorokhod maps in convex polyhedral domains
• A probabilistic numerical method for a class of mean field games
• Regulating functions on partially ordered sets

This page was built for publication: On lipschitz continuity of the solution mapping to the skorokhod problem, with applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5753301)