Stochastic differential equations with jump reflection at time-dependent barriers

DOI10.1016/j.spa.2010.04.008zbMath1197.60066OpenAlexW2092721386MaRDI QIDQ988679

Tomasz Wojciechowski, Leszek Slominski

Publication date: 18 August 2010

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

Full work available at URL: https://doi.org/10.1016/j.spa.2010.04.008

zbMATH Keywords

Skorokhod problemreflecting stochastic differential equationstime-dependent reflecting barriers

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Stochastic integral equations (60H20)

Related Items (13)

Backward stochastic differential equations with mean reflection and two constraints ⋮ Rigorous Justification of the Fokker--Planck Equations of Neural Networks Based on an Iteration Perspective ⋮ On reflection with two-sided jumps ⋮ SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation ⋮ SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation ⋮ Backward stochastic differential equations with two barriers and generalized reflection ⋮ Coupled stochastic systems of Skorokhod type: Well‐posedness of a mathematical model and its applications ⋮ Optimal stopping with private information ⋮ Multivalued monotone stochastic differential equations with jumps ⋮ On reflected stochastic differential equations driven by regulated semimartingales ⋮ Mean reflected stochastic differential equations with two constraints ⋮ Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains ⋮ Càdlàg Skorokhod problem driven by a maximal monotone operator

Cites Work

• The Skorokhod problem in a time-dependent interval
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Stochastic differential equations with reflecting boundary condition in convex regions
• Reflexion discontinue et systèmes stochastiques
• Weak limit theorems for stochastic integrals and stochastic differential equations
• On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
• On existence, uniqueness and stability of solutions of multidimensional SDE's with reflecting boundary conditions
• An explicit formula for the Skorokhod map on \([0,a\)]
• Stochastic differential equations with jump reflection at the boundary
• Strong Solutions of Stochastic Differential Equations with Boundary Conditions
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
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