Articlegreen1985

A viability approach to the skorohod problem

21 citations0/0 files storedStochastics

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Optimization and Variational Analysis

Abstract

The theory of stochastic differential equations with reflecting boundary conditions leads to the "Skorohod" problem. Thispaper proposes a solution to this problem using techniques from viability theory and non-smooth analysis, allowing very general situations to occur.

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1980MULTI-DIMENSIONAL DIFFUSION PROCESSES 1984Stochastic differential equations with reflecting boundary conditions 1979Stochastic differential equations with reflecting boundary condition in convex regions 1983Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application 1983Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Part I 1977Equations differentielles stochastiques

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