SDEs with oblique reflections on nonsmooth domains

DOI10.1214/07-AOP374zbMath1168.60019arXiv0809.4393MaRDI QIDQ948751

Paul Dupuis, Hitoshi Ishii

Publication date: 20 October 2008

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

Full work available at URL: https://arxiv.org/abs/0809.4393

zbMATH Keywords

stochastic differential equationsoblique reflection

Mathematics Subject Classification ID

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

Related Items (6)

Stationary distributions for diffusions with inert drift ⋮ Limit theorems and the support of SDES with oblique reflections on nonsmooth domains ⋮ The Skorohod oblique reflection problem in time-dependent domains ⋮ Large deviations and exit-times for reflected McKean-Vlasov equations with self-stabilising terms and superlinear drifts ⋮ Spinning Brownian motion ⋮ Large Deviations for Additive Functionals of Reflected Jump-Diffusions

Cites Work

• SDEs with oblique reflection on nonsmooth domains

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