Reflected Backward SDEs in a Convex Polyhedron

DOI10.1007/978-3-030-35202-8_2zbMath1478.60170OpenAlexW3008995135MaRDI QIDQ4992727

Khadija Akdim

Publication date: 10 June 2021

Published in: Applied and Numerical Harmonic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-35202-8_2

zbMATH Keywords

Gaussian processvector fieldrandom fieldcovariance operator

Mathematics Subject Classification ID

Random fields (60G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60)

Cites Work

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• Reflected diffusion processes with jumps
• Stochastic differential equations with reflecting boundary condition in convex regions
• Reflexion discontinue et systèmes stochastiques
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• On stochastic differential equations for multi-dimensional diffusion processes with boundary conditions
• Stochastic differential equations with reflecting boundary conditions
• Reflected backward stochastic differential equations with jumps
• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe

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