On stochastic differential equations for multi-dimensional diffusion processes with boundary conditions
From MaRDI portal
Publication:2544527
DOI10.1215/kjm/1250523692zbMath0212.20203OpenAlexW4242065449MaRDI QIDQ2544527
Publication date: 1971
Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1215/kjm/1250523692
Related Items
On the semimartingale representation of reflecting Brownian motion in a cusp ⋮ Controlled diffusion processes on infinite horizon with the overtaking criterion ⋮ Fiscal stimulus as an optimal control problem ⋮ Backward doubly SDEs and semilinear stochastic PDEs in a convex domain ⋮ Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions ⋮ Brownian motion in a wedge with variable reflection: Existence and uniqueness ⋮ Expected Supremum Representation of the Value of a Singular Stochastic Control Problem ⋮ A mean field game model of firm-level innovation ⋮ On stochastic differential equations characterizing some singular diffusion processes ⋮ Reflected stochastic differential equations driven by G-Brownian motion in non-convex domains ⋮ Singular ergodic control for multidimensional Gaussian processes ⋮ The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations ⋮ Càdlàg rough differential equations with reflecting barriers ⋮ The calculus of boundary processes ⋮ On the uniqueness of solutions of stochastic differential equations with singular drifts ⋮ Markov selection for constrained martingale problems ⋮ Statistical problems for stochastic processes with boundary conditions ⋮ Sticky couplings of multidimensional diffusions with different drifts ⋮ The existence of solutions of a martingale problem ⋮ On uniqueness of solutions of the martingale problem ⋮ Penalty method for obliquely reflected diffusions ⋮ Autostabilizing nonlinear reflected process ⋮ Some singular diffusion processes and their associated stochastic differential equations ⋮ Reflected Backward SDEs in a Convex Polyhedron ⋮ Couplings and quantitative contraction rates for Langevin dynamics ⋮ Propagation of chaos: a review of models, methods and applications. II: Applications ⋮ Gravitation versus Brownian motion ⋮ Stochastic theory of population genetics ⋮ Markov chain approximation of one-dimensional sticky diffusions ⋮ On the existence of solutions of stochastic differential equations with singular drifts
