The Skorohod oblique reflection problem in time-dependent domains

Kaj Nyström, Thomas Önskog

Type: Article

Publication Date: 2010-09-24

Citations: 18

DOI: https://doi.org/10.1214/10-aop538

View Publication

Locations

The Annals of Probability - View
arXiv (Cornell University) - View - PDF
Project Euclid (Cornell University) - View - PDF
KTH Publication Database DiVA (KTH Royal Institute of Technology) - View - PDF
DataCite API - View

Similar Works

Action	Title	Year	Authors
+ PDF Chat	The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations	1992	Cristina Costantini
+ PDF Chat	From Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study	2020	Yunwen Wang Jinfeng Li
+	From Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study	2020	Yunwen Wang Jinfeng Li
+ PDF Chat	Weak Approximation of Obliquely Reflected Diffusions on Time-dependent Domains	2010	Kaj Nyström Thomas Önskog
+	Stochastic and partial differential equations on non-smooth time-dependent domains	2015	Niklas L. P. Lundström Thomas Önskog
+	Stochastic and partial differential equations on non-smooth time-dependent domains	2015	Niklas L. P. Lundström Thomas Önskog
+	Stochastic and partial differential equations on non-smooth time-dependent domains	2018	Niklas L. P. Lundström Thomas Önskog
+ PDF Chat	Reflected Mckean-Vlasov stochastic differential equations with jumps in time-dependent domains	2024	Imane Jarni Badr Missaoui Youssef Ouknine
+	Mckean-Vlasov stochastic differential equations with oblique reflection on non-smooth time dependent domains	2022	Rong Wei Saisai Yang Jianliang Zhai
+	Pathwise uniqueness and non-explosion property of Skorohod SDEs with a class of non-Lipschitz coefficients and non-smooth domains	2020	Masanori Hino Kouhei Matsuura Misaki Yonezawa
+	Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains	2015	Kaj Nyström Thomas Önskog
+	Skorohod problems with nonsmooth boundary conditions	1992	Michael Taksar
+	Penalty Method for Obliquely Reflected Diffusions	2015	Andrey Sarantsev
+	Multi-dimensional BSDE with Oblique Reflection and Optimal Switching	2007	Ying Hu Shanjian Tang
+	Reflected stochastic differential equations driven by $G$-Brownian motion in non-convex domains	2017	Yiqing Lin Abdoulaye Soumana Hima
+	On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries	2014	Weining Kang Kavita Ramanan
+ PDF Chat	Pathwise Uniqueness and Non-explosion Property of Skorohod SDEs with a Class of Non-Lipschitz Coefficients and Non-smooth Domains	2020	Masanori Hino Kouhei Matsuura Misaki Yonezawa
+	Existence and uniqueness of reflecting diffusions in cusps	2018	Cristina Costantini Thomas G. Kurtz
+ PDF Chat	Reflected stochastic differential equations driven by G-Brownian motion in non-convex domains	2018	Yiqing Lin Abdoulaye Soumana Hima
+ PDF Chat	Reflected Diffusions Defined via the Extended Skorokhod Map	2006	Kavita Ramanan

Works That Cite This (16)

Action	Title	Year	Authors
+	Stochastic and partial differential equations on non-smooth time-dependent domains	2018	Niklas L. P. Lundström Thomas Önskog
+ PDF Chat	Couplings of Brownian motions with set-valued dual processes on Riemannian manifolds	2024	Marc Arnaudon Koléhè Coulibaly-Pasquier Laurent Miclo
+ PDF Chat	On directional derivatives of Skorokhod maps in convex polyhedral domains	2018	David Lipshutz Kavita Ramanan
+ PDF Chat	Interlacing Diffusions	2019	Theodoros Assiotis Neil O’Connell Jon Warren
+	Approximating diffusion reflections at elastic boundaries	2018	Dirk Becherer Todor Bilarev Peter Frentrup
+ PDF Chat	Lattice approximations of reflected stochastic partial differential equations driven by space–time white noise	2016	Tusheng Zhang
+	Reflected (Degenerate) Diffusions and Stationary Measures	2020	Mauricio Duarte
+ PDF Chat	Asymptotic optimal tracking: feedback strategies	2017	Jiatu Cai Mathieu Rosenbaum Peter Tankov
+ PDF Chat	Explicit Solutions of the Extended Skorokhod Problems in Affine Transformations of Time-Dependent Strata	2021	Marek Slaby
+	Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains	2015	Kaj Nyström Thomas Önskog

Works Cited by This (44)

Action	Title	Year	Authors
+	Chromaticity Denoising using Solution to the Skorokhod Problem	2006	Dariusz Borkowski
+ PDF Chat	SDEs with oblique reflections on nonsmooth domains	2008	Paul Dupuis Hitoshi Ishii
+	None	1998	Paul Dupuis Kavita Ramanan
+	Stochastic differential equations with reflecting boundary condition in convex regions	1979	Hiroshi Tanaka
+	Regulations dÉterminates et stochastiques dans le premier “orthant” de R<sup>N</sup>	1991	Alain Bernard Ahmed El Kharroubi
+	Stochastic differential equations with reflecting boundary conditions	1984	Pierre‐Louis Lions Alain‐Sol Sznitman
+ PDF Chat	Some Results on Stochastic Differential Equations with Reflecting Boundary Conditions	2004	Pedro Marín-Rubio José Real
+	Skorohod problems with nonsmooth boundary conditions	1992	Michael Taksar
+ PDF Chat	A viability approach to the skorohod problem	1985	Halina Frankowska
+ PDF Chat	Weak Approximation of Obliquely Reflected Diffusions on Time-dependent Domains	2010	Kaj Nyström Thomas Önskog