Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains

DOI10.1080/17442508.2014.1000327zbMath1337.60129OpenAlexW2003756141MaRDI QIDQ2804008

Thomas Önskog, Kaj Nyström

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2014.1000327

zbMATH Keywords

stochastic differential equationsintegro-differential equationLévy processoblique reflectionSkorohod problemtime-dependent domain

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Boundary theory for Markov processes (60J50)

Related Items (3)

A McKean--Vlasov SDE and Particle System with Interaction from Reflecting Boundaries ⋮ Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps ⋮ Non-convex sweeping processes in the space of regulated functions

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