Markov selection for constrained martingale problems

DOI10.1214/19-EJP393zbMath1428.60108arXiv1901.10770OpenAlexW2979408162MaRDI QIDQ2279331

Cristina Costantini, Thomas G. Kurtz

Publication date: 12 December 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.10770

zbMATH Keywords

boundary controlviscosity solutionnonlocal boundary conditionsWentzell boundary conditionsconstrained martingale problemsreflecting diffusionMarkov selection

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Boundary theory for Markov processes (60J50)

Related Items (4)

INFLATION, CENTRAL BANK AND SHORT-TERM INTEREST RATES: A NEW MODEL WITH CALIBRATION TO MARKET DATA ⋮ Localization for constrained martingale problems and optimal conditions for uniqueness of reflecting diffusions in 2-dimensional domains ⋮ Optimal Dividend Problem: Asymptotic Analysis ⋮ On Singular Control Problems, the Time-Stretching Method, and the Weak-M1 Topology

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