Forward equations for reflected diffusions with jumps

DOI10.1007/BF01187963zbMath0841.60062OpenAlexW2051223197MaRDI QIDQ1909386

Fabrice M. Guillemin, Ravi R. Mazumdar

Publication date: 25 July 1996

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

Full work available at URL: https://doi.org/10.1007/bf01187963

zbMATH Keywords

semimartingalesdiffusionslocal timereflectionsPalm probabilitiesforward equationsstochastic intensityrandom jump measures

Mathematics Subject Classification ID

Related Items (6)

Boundary behavior and product-form stationary distributions of jump diffusions in the orthant with state-dependent reflections ⋮ On Neumann and oblique derivatives boundary conditions for nonlocal elliptic equations ⋮ Bouncing skew Brownian motions ⋮ Existence and characterization of product-form invariant distributions for state-dependent stochastic networks in the heavy-traffic diffusion limit ⋮ On product-form stationary distributions for reflected diffusions with jumps in the positive orthant ⋮ Birth and death processes in interactive random environments

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