Stochastic flows with reflection

MaRDI QIDQ5467389zbMATH OpenFDO

Authors

Publication date 24 May 2006

Full work available at URL https://arxiv.org/abs/0810.4644

zbMATH Keywords

measure-valued processnormal reflection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Abstract: Some topological properties of stochastic flow $varph{i}_t(x)$ generated by stochastic differential equation in a ${mathbbR}_{+}^d$ with normal reflection at the boundary are investigated. Sobolev differentiability in initial condition is received. The absolute continuity of the measure-valued process $mucircvarph{i}_t^{-1}$, where $mulllambd{a}^d,$ is studied.

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Cited in

(7)

• Differentiability of stochastic flow of reflected Brownian motions
• Brownian earthworm
• Simultaneous boundary hitting by coupled reflected Brownian motions
• Flows generated by stochastic equations with reflection
• Transfer of absolute continuity by a flow generated by a stochastic equation with reflection
• On the generalized differentiability on the initial data of the flow generated by stochastic equation with reflection
• Properties of the Flows Generated by Stochastic Equations with Reflection

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