On approximate continuity and the support of reflected stochastic differential equations

DOI10.1214/15-AOP1018zbMath1347.60072arXiv1606.01618OpenAlexW3104299460MaRDI QIDQ726801

Jing Wu, Jiangang Ren

Publication date: 14 July 2016

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

Full work available at URL: https://arxiv.org/abs/1606.01618

zbMATH Keywords

maximum principlelimit theoremdiffusionsreflected stochastic differential equationsapproximate continuitysupport problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic analysis (60H99) Limit theorems in probability theory (60F99)

Related Items (13)

Averaging principle for stochastic variational inequalities with application to PDEs with nonlinear Neumann conditions ⋮ Limit theorems and the support of SDES with oblique reflections on nonsmooth domains ⋮ A support theorem for stochastic differential equations driven by a fractional Brownian motion ⋮ SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES ⋮ On approximations for reflected SDEs and SPDEs with Neumann boundary conditions ⋮ Multi-dimensional path-dependent forward-backward stochastic variational inequalities ⋮ Stability and invariant measure asymptotics in a model for heavy particles in rough turbulent flows ⋮ Càdlàg rough differential equations with reflecting barriers ⋮ Wong-Zakai approximations and center manifolds of stochastic differential equations ⋮ Probabilistic approach for nonlinear partial differential equations and stochastic partial differential equations with Neumann boundary conditions ⋮ Support theorem for stochastic differential equations with Sobolev coefficients ⋮ Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models ⋮ Wong-Zakai approximations and support theorems for stochastic McKean-Vlasov equations

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