Mean reflected stochastic differential equations with two constraints

DOI10.1016/j.spa.2021.07.008zbMath1480.60187arXiv2005.12098OpenAlexW3186177266WikidataQ115341117 ScholiaQ115341117MaRDI QIDQ2238888

Adrian Falkowski, Leszek Slominski

Publication date: 2 November 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.12098

zbMATH Keywords

Skorokhod problemreflecting boundary conditionstochastic differential equations with constraints

Mathematics Subject Classification ID

Stochastic integral equations (60H20)

Related Items (2)

Backward stochastic differential equations with mean reflection and two constraints ⋮ Backward doubly-stochastic differential equations with mean reflection

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic differential equations with jump reflection at time-dependent barriers
• The Skorokhod problem in a time-dependent interval
• On tightness of solutions of stochastic integral equations driven by \(p\)-semimartingales
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Stochastic differential equations with reflecting boundary condition in convex regions
• Weak limit theorems for stochastic integrals and stochastic differential equations
• BSDEs with mean reflection
• Euler's approximations of solutions of SDEs with reflecting boundary.
• On existence, uniqueness and stability of solutions of multidimensional SDE's with reflecting boundary conditions
• SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation
• An explicit formula for the Skorokhod map on \([0,a\)]
• Processus à accroissements indépendants: Une condition nécessaire et suffisante de convergence en loi
• Strong Solutions of Stochastic Differential Equations with Boundary Conditions
• Mean reflected stochastic differential equations with jumps
• Deterministic mean-variance-optimal consumption and investment
• Stochastic differential equations with time-dependent reflecting barriers

This page was built for publication: Mean reflected stochastic differential equations with two constraints