The martingale problem with sticky reflection conditions, and a system of particles interacting at the boundary

zbMath0643.60042MaRDI QIDQ1102036

Carl Graham

Publication date: 1988

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1988__24_1_45_0

zbMATH Keywords

weak compactnessmartingale problemscompletely degenerated generatorsTime changeWentzell's boundary conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Martingales with continuous parameter (60G44) Convergence of probability measures (60B10) Boundary theory for Markov processes (60J50)

Related Items (12)

Construction and analysis of a sticky reflected distorted Brownian motion ⋮ Strong Feller property of sticky reflected distorted Brownian motion ⋮ Behavior Near Walls in the Mean-Field Approach to Crowd Dynamics ⋮ Nonlinear limit for a system of diffusing particles which alternate between two states ⋮ Etude d'une équation différentielle stochastique non linéaire avec temps local, modèle limité pour un système de particules avec interaction à la frontière. (Study of a nonlinear stochastic differential equation with local times, limit model for a particle system with interaction at the boundary) ⋮ Markov selection for constrained martingale problems ⋮ Sticky couplings of multidimensional diffusions with different drifts ⋮ Law of large numbers for a general system of stochastic differential equations with global interaction ⋮ Homogenization and propagation of chaos to a nonlinear diffusion with sticky reflection ⋮ System of interacting particles and nonlinear diffusion reflecting in a domain with sticky boundary ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation ⋮ Markov chain approximation of one-dimensional sticky diffusions

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