Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary

DOI10.1515/MCMA-2023-2018OpenAlexW4387872988MaRDI QIDQ6123184

Kamal Hiderah, Faiz Bahaj

Publication date: 4 March 2024

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2023-2018

zbMATH Keywords

existence and uniquenesslocal timeperturbed stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Cites Work

• Unnamed Item
• Unnamed Item
• On the time inhomogeneous skew Brownian motion
• On the existence of a time inhomogeneous skew Brownian motion and some related laws
• Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
• Brownian motion and random walk perturbed at extrema
• Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
• Some calculations for doubly perturbed Brownian motion
• Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
• Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
• Perturbed Skorohod equations and perturbed reflected diffusion processes
• Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients
• Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
• ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
• Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero
• Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients
• The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero

This page was built for publication: Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary