Skorohod problems with nonsmooth boundary conditions

DOI10.1016/0377-0427(92)90108-AzbMath0753.60072MaRDI QIDQ1196862

Michael I. Taksar

Publication date: 16 January 1993

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

existence of a weak solutionreflection at the boundarypath-by-path construction of a diffusion process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (5)

The Skorohod oblique reflection problem in time-dependent domains ⋮ Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls ⋮ Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps ⋮ White noise driven SPDEs with oblique reflection: existence and uniqueness ⋮ A Free Boundary Problem of Liquidity Management for Optimal Dividend and Insurance in Finite Horizon

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