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On stability and existence of solutions of SDEs with reflection at the boundary
6 references·1 citing·20 second hop
On stability and existence of solutions of SDEs with reflection at the boundary (1997)On stability and existence of solutions o…Stochastic differential equations for multi-dimensional domain with reflecting boundary (1987)Stochastic differential equat…Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equat…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesControlled Diffusion Processes (1980)Controlled Diffusion ProcessesStochastic differential equations with reflecting boundary condition in convex regions (1979)Stochastic differential equat…Distribution dependent reflecting stochastic differential equations (2023)Distribution dependent reflec…On the uniqueness of solutions of stochastic differential equations (1971)Stochastic Differential Equations and Diffusion Processes (1983)Optimal Investment and Consumption with Transaction Costs (1994)Stochastic Differential Equations (2014)Probabilistic Theory of Mean Field Games with Applications I (2018)Stabilities of delay stochastic McKean-Vlasov equations in the G-framework (2024)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)White noise driven SPDEs with reflection (1993)Problàme de Skorohod multivoque (1998)Euler schemes and half-space approximation for the simulation of diffusion in a domain (2001)A simplified treatment of the theory of optimal regulation of Brownian motion (1991)On solutions of backward stochastic differential equations with jumps and applications (1997)Investment, consumption, and hedging under incomplete markets (2007)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)
this work references cited by second hop

References

  • 1980Controlled Diffusion Processes1,311 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 1979Stochastic differential equations with reflecting boundary condition in convex regions415 cited
  • 1980Controlled Diffusion Processes258 cited
  • 1987Stochastic differential equations for multi-dimensional domain with reflecting boundary229 cited

Cited by

  • 2023Distribution dependent reflecting stochastic differential equations35 cited

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