Reflecting diffusions in an orthant: An introduction

MaRDI QIDQ5943513zbMATH OpenFDO

Authors Srinivasan Balaji, S. Ramasubramanian

Publication date 24 April 2002

Published in Differential Equations and Dynamical Systems (Search for Journal in Brave)

zbMATH Keywords

constant dispersionreflection fieldSkorokhod problem in an orthantvariable drift

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Recommendations

• The Skorohod oblique reflection problem in time-dependent domains
• Diffusions with reflection on an orthant and associated initial-boundary value problems
• Skorohod problems with nonsmooth boundary conditions
• A lemma of variational distance between maximal functions with application to the skorokhod problem in a nonnegative orthant with state-dependent reflection directions
• A viability approach to the skorohod problem

Cited in

(8)

• Long time asymptotics for constrained diffusions in polyhedral domains
• Diffusions with rank-based characteristics and values in the nonnegative quadrant
• Regulations dÉterminates et stochastiques dans le premier “orthant” de R^N
• Exit time and invariant measure asymptotics for small noise constrained diffusions
• Reflecting diffusions in the quadrant: Recurrence and transience
• Sensitivity analysis for diffusion processes constrained to an orthant
• Diffusions with reflection on an orthant and associated initial-boundary value problems
• Reflected diffusions defined via the extended Skorokhod map

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