Reflected backward stochastic differential equations in an orthant

DOI10.1007/BF02829759MaRDI QIDQ698364zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 1066453 (Why is no real title available?)
• scientific article; zbMATH DE number 885486 (Why is no real title available?)
• A lemma of variational distance between maximal functions with application to the skorokhod problem in a nonnegative orthant with state-dependent reflection directions
• A subsidy-surplus model and the Skorokhod problem in an orthant.
• Backward stochastic differential equations with reflection and Dynkin games
• Dynamical systems and variational inequalities
• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
• On oblique derivative problems for fully nonlinear second-order elliptic PDE's on domains with corners
• Open Queueing Networks in Heavy Traffic
• Reflected Brownian motion on an orthant
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• State-dependent stochastic networks. I: Approximation and applications with continuous diffusion limits
• Stochastic Differential Utility

Cited in

(14)

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

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