A viability approach to the skorohod problem

DOI10.1080/17442508508833340zbMath0601.60059OpenAlexW1995605379MaRDI QIDQ3736646

Hélène Frankowska

Publication date: 1985

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://pure.iiasa.ac.at/id/eprint/2564/1/CP-84-013.pdf

zbMATH Keywords

Skorohod problemstochastic differential equations with reflecting boundary conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential inclusions (34A60)

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The problem of optimal control with reflection studied through a linear optimization problem stated on occupational measures, Optimality conditions for reflecting boundary control problems, Skorohod problem and multivalued stochastic evolution equations in Banach spaces, The Skorohod oblique reflection problem in time-dependent domains, Asymptotic analysis of queueingnetworks, A counterexample to a.s. constructions, Skorohod problems with nonsmooth boundary conditions, Semiconcave solutions of partial differential inclusions, A non-convex setup for multivalued differential equations driven by oblique subgradients, Stable approximations of set-valued maps, White noise driven SPDEs with oblique reflection: existence and uniqueness, Stochastic differential equations for multi-dimensional domain with reflecting boundary

Cites Work

• Reflexion discontinue et systèmes stochastiques
• Monotone trajectories of differential inclusions and functional differential inclusions with memory
• Monotone viable trajectories for functional differential inclusions
• Optimization and nonsmooth analysis
• A characterization of tangential regularity
• Survey of Measurable Selection Theorems: Russian Literature Supplement
• Diffusion processes with boundary conditions
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