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Weak and strong approximations of reflected diffusions via penalization methods
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Weak and strong approximations of reflected diffusions via penalization methods (2012)Weak and strong approximations of reflect…On the Moments of the Modulus of Continuity of Itô Processes (2009)On the Moments of the Modulus…Penalization methods for reflecting stochastic differential equations with jumps (2003)Penalization methods for refl…Euler's approximations of solutions of SDEs with reflecting boundary (2001)Euler's approximations of sol…A Multiclass Feedback Queueing Network with a Regular Skorokhod Problem (2000)A Multiclass Feedback Queuein…Problàme de Skorohod multivoque (1998)Problàme de Skorohod multivoq…Penalization Schemes for Reflecting Stochastic Differential Equations (1997)Penalization Schemes for Refl…On stability and existence of solutions of SDEs with reflection at the boundary (1997)On stability and existence of…Existence of strong solutions for Itô's stochastic equations via approximations (1996)Existence of strong solutions…Approximations for stochastic differential equations with reflecting convex boundaries (1995)Approximations for stochastic…A New Look at Pricing of the ”Russian Option“ (1995)A New Look at Pricing of the …On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary (1994)On the strong solutions of on…Queueing Simulation in Heavy Traffic (1992)Queueing Simulation in Heavy …On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)On lipschitz continuity of th…Reflected Diffusion Processes with Jumps (1985)Reflected Diffusion Processes…Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equat…Stochastic differential equations with reflecting boundary condition in convex regions (1979)Stochastic differential equat…On the uniqueness of solutions of stochastic differential equations (1971)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)Optimal Investment and Consumption with Transaction Costs (1994)Stochastic Differential Equations (2014)Extreme Values, Regular Variation and Point Processes (1987)Brownian Motion and Stochastic Calculus (2007)A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension (2014)Numerical solution of stochastic differential equations (2016)Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients (2019)Reflected Brownian Motion on an Orthant (1981)Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant (1993)State-dependent stochastic networks. Part I. Approximations and applications with continuous diffusion limits (1998)Controlled Diffusion Processes (1980)Lattice Approximations for Stochastic Quasi-Linear Parabolic Partial Differential Equations driven by Space-Time White Noise II (1999)Ergodic Control of Diffusion Processes (2011)Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Martingales and arbitrage in multiperiod securities markets (1979)Optimal stopping of the maximum process: the maximality principle (1998)Some calculations for Israeli options (2004)The Russian option: Finite horizon (2005)Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Multivalued Stochastic Differential Equations: Convergence of a Numerical Scheme (2003)Wong–Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces (2013)Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations (1975)Applied Probability and Queues (1987)Planning Queueing Simulations (1989)Asymptotic Formulas for Markov Processes with Applications to Simulation (1992)Improved Design of Queueing Simulation Experiments with Highly Heteroscedastic Responses (1999)Approximating Martingales for Variance Reduction in Markov Process Simulation (2002)Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Stochastic differential equations for multi-dimensional domain with reflecting boundary (1987)Optimal Control Problem Associated with Jump Processes (2004)Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes (2008)Optimal portfolios of a small investor in a limit order market: a shadow price approach (2010)Large Deviations of Max-Weight Scheduling Policies on Convex Rate Regions (2010)Multi-valued stochastic differential equations driven byG-Brownian motion and related stochastic control problems (2016)
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References

  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 1979Stochastic differential equations with reflecting boundary condition in convex regions415 cited
  • 1996Existence of strong solutions for Itô's stochastic equations via approximations400 cited
  • 1991On lipschitz continuity of the solution mapping to the skorokhod problem, with applications255 cited
  • 1998Problàme de Skorohod multivoque123 cited
  • 1995A New Look at Pricing of the ”Russian Option“122 cited
  • 2001Euler's approximations of solutions of SDEs with reflecting boundary84 cited
  • 2009On the Moments of the Modulus of Continuity of Itô Processes69 cited
  • 1985Reflected Diffusion Processes with Jumps60 cited
  • 1992Queueing Simulation in Heavy Traffic56 cited
  • 1995Approximations for stochastic differential equations with reflecting convex boundaries50 cited
  • 1994On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary44 cited
  • 1997On stability and existence of solutions of SDEs with reflection at the boundary39 cited
  • 1997Penalization Schemes for Reflecting Stochastic Differential Equations38 cited
  • 2000A Multiclass Feedback Queueing Network with a Regular Skorokhod Problem

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34 cited
  • 2003Penalization methods for reflecting stochastic differential equations with jumps28 cited
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