Reflected diffusions in a non smooth region and an application to storage theory

DOI10.1080/07362999008809217zbMath0725.60056OpenAlexW2038067222MaRDI QIDQ5203436

Catherine Pallenberg

Publication date: 1990

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999008809217

zbMATH Keywords

weak solutionssubmartingale problemstrong Markov process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Cites Work

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• Brownian motion in a wedge with oblique reflection
• Diffusion processes with continuous coefficients, I
• Diffusion processes with boundary conditions