SDEs with oblique reflections on nonsmooth domains

DOI10.1214/07-AOP374zbMATH Open1168.60019MaRDI QIDQ948751FDOQ948751

Authors 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

oblique reflectionstochastic differential equations

Mathematics Subject Classification ID

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

Abstract: Correction to The Annals of Probability 21 (1993) 554--580 [1]

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Cites work

• SDEs with oblique reflection on nonsmooth domains

Cited in

(9)

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

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