The Skorohod oblique reflection problem in time-dependent domains

DOI10.1214/10-AOP538zbMath1208.60077arXiv1011.2335MaRDI QIDQ606631

Kaj Nyström, Thomas Önskog

Publication date: 18 November 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.2335

zbMATH Keywords

time-dependent domain; Skorohod reflection problem; Skorohod topology, stochastic differential equations

Mathematics Subject Classification ID

60J60: Diffusion processes

60B10: Convergence of probability measures

60J50: Boundary theory for Markov processes

Related Items

Markov modulation of a two-sided reflected Brownian motion with application to fluid queues

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The heat equation in time dependent domains with insulated boundaries
• Some results on stochastic differential equations with reflecting boundary conditions
• Reflected diffusions defined via the extended Skorokhod map
• Boundary sensitivities for diffusion processes in time dependent domains
• SDEs with oblique reflections on nonsmooth domains
• Deterministic and stochastic differential inclusions with multiple surfaces of discontinuity
• The Skorokhod problem in a time-dependent interval
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• A Skorokhod problem formulation and large deviation analysis of a processor sharing model
• Stochastic differential equations with reflecting boundary condition in convex regions
• Reflected Brownian motion on an orthant
• Weak limit theorems for stochastic integrals and stochastic differential equations
• On the equation describing the random motion of mutually reflecting molecules
• The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations
• Skorohod problems with nonsmooth boundary conditions
• Lyapunov functions for semimartingale reflecting Brownian motions
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• On the stability of the linear Skorokhod problem in an orthant
• The heat equation and reflected Brownian motion in time-dependent domains. II: Singularities of solutions.
• Pathwise uniqueness for reflecting Brownian motion in Euclidean domains
• Brownian motion reflected on Brownian motion
• Large deviations and queueing networks: Methods for rate function identification
• A differential game with constrained dynamics and viscosity solutions of a related HJB equation
• A note on reflecting Brownian motions
• Fluid and heavy traffic diffusion limits for a generalized processor sharing model
• The heat equation and reflected Brownian motion in time-dependent domains.
• Boundary trace of reflecting Brownian motions
• A Skorokhod-type lemma and a decomposition of reflected Brownian motion
• Convex duality and the Skorokhod problem. I
• Convex duality and the Skorokhod problem. II
• SDEs with oblique reflection on nonsmooth domains
• An invariance principle for semimartingale reflecting Brownian motions in domains with piecewise smooth boundaries
• An explicit formula for the Skorokhod map on \([0,a\)]
• The heavy traffic limit of an unbalanced generalized processor sharing model
• An insurance network: Nash equilibrium
• A Subsidy-Surplus Model and the Skorokhod Problem in an Orthant
• Weak Approximation of Obliquely Reflected Diffusions on Time-dependent Domains
• Open Queueing Networks in Heavy Traffic
• Regulations dÉterminates et stochastiques dans le premier “orthant” de R^N
• Stochastic differential equations with reflecting boundary conditions
• A viability approach to the skorohod problem
• A new approach to the skorohod problem, and its applications
• A new approach to the Skorohod problem, and its applications
• Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
• Optimal Policies forn-Dimensional Singular Stochastic Control Problems Part I: The Skorokhod Problem
• Strong Approximations for Time-Dependent Queues
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
• A multiclass feedback queueing network with a regular Skorokhod problem