On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries

DOI10.1214/16-AOP1153zbMath1459.60162arXiv1412.0729OpenAlexW2963201277MaRDI QIDQ516124

Weining Kang, Kavita Ramanan

Publication date: 22 March 2017

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.0729

zbMATH Keywords

weak solutionsSkorokhod problemqueueing networksdiffusion approximationsreflecting diffusionsmartingale problemreflected Brownian motionextended Skorokhod problemnonsemimartingalesstochastic differential equations with reflectionsubmartingale problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic network models in operations research (90B15) Queues and service in operations research (90B22) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (10)

Weak convergence of obliquely reflected diffusions ⋮ A spatial measure-valued model for chemical reaction networks in heterogeneous systems ⋮ Reflecting Brownian motion in generalized parabolic domains: explosion and superdiffusivity ⋮ Reflected Brownian motion with drift in a wedge ⋮ On Constrained Langevin Equations and (Bio)Chemical Reaction Networks ⋮ Markov selection for constrained martingale problems ⋮ Characterization of stationary distributions of reflected diffusions ⋮ Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata ⋮ Pathwise differentiability of reflected diffusions in convex polyhedral domains ⋮ On the roughness of the paths of RBM in a wedge

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