Reflected backward stochastic differential equations in an orthant

DOI10.1007/BF02829759zbMATH Open1007.60061OpenAlexW2122506696MaRDI QIDQ698364FDOQ698364

Authors: M. C. Fu 

Publication date: 21 October 2002

Published in: Proceedings of the Indian Academy of Sciences. Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02829759

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zbMATH Keywords

backward stochastic differential equationoblique reflectionSkorokhod problemsubsidy surplus model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
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• Dynamical systems and variational inequalities
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• Reflected Brownian motion on an orthant
• Open Queueing Networks in Heavy Traffic
• On oblique derivative problems for fully nonlinear second-order elliptic PDE's on domains with corners
• A subsidy-surplus model and the Skorokhod problem in an orthant.
• State-dependent stochastic networks. I: Approximation and applications with continuous diffusion limits
• A lemma of variational distance between maximal functions with application to the skorokhod problem in a nonnegative orthant with state-dependent reflection directions
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Cited In (14)

• Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
• Reflected stochastic differential equations driven by \(G\)-Brownian motion with nonlinear resistance
• Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
• Reflected backward stochastic differential equations with jumps in time-dependent random convex domains
• Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem
• Switching problem and related system of reflected backward SDEs
• Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
• Backward stochastic differential equations with oblique reflection and local Lipschitz drift
• Obliquely reflected backward stochastic differential equations
• Reflected backward stochastic differential equations with resistance
• Multi-dimensional BSDE with oblique reflection and optimal switching
• Reflected BSDEs with jumps in time-dependent convex càdlàg domains
• Discrete time stochastic multi-player competitive games with affine payoffs
• Second order reflected backward stochastic differential equations

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