Some results on stochastic differential equations with reflecting boundary conditions

DOI10.1023/B:JOTP.0000040295.09922.85zbMath1071.60048OpenAlexW1971481455MaRDI QIDQ702404

José Real, Pedro Marín-Rubio

Publication date: 17 January 2005

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:jotp.0000040295.09922.85

zbMATH Keywords

Skorokhod problemstrong solutionmonotonicity conditionreflected stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (8)

Some integral functionals of reflected SDEs and their applications in finance ⋮ The Skorohod oblique reflection problem in time-dependent domains ⋮ Strong solutions to reflecting stochastic differential equations with singular drift ⋮ A probabilistic approach to quasilinear parabolic PDEs with obstacle and Neumann problems ⋮ Coupled stochastic systems of Skorokhod type: Well‐posedness of a mathematical model and its applications ⋮ Strong comparison result for a class of reflected stochastic differential equations with non-Lipschitzian coefficients ⋮ Strong convergence of Wong-Zakai approximations of reflected SDEs in a multidimensional general domain ⋮ A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations

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