SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries
16 references·0 citing·34 second hop
On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries (2017)On the submartingale problem for reflecte…An explicit formula for the Skorokhod map on [0,a (2012)An explicit formula for the S…The Skorokhod problem in a time-dependent interval (2008)The Skorokhod problem in a ti…An explicit formula for the Skorokhod map on [0, a] (2007)An explicit formula for the S…Reflected Diffusions Defined via the Extended Skorokhod Map (2006)Reflected Diffusions Defined …Convex duality and the Skorokhod Problem. II (1999)Convex duality and the Skorok…Convex duality and the Skorokhod Problem. I (1999)Convex duality and the Skorok…Existence and Uniqueness of Semimartingale Reflecting Brownian Motions in Convex Polyhedrons (1996)Existence and Uniqueness of S…SDEs with Oblique Reflection on Nonsmooth Domains (1993)SDEs with Oblique Reflection …Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant (1993)Existence and uniqueness of s…Regulations dÉterminates et stochastiques dans le premier “orthant” de R N (1991)Regulations dÉterminates et s…On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)On lipschitz continuity of th…Introduction to Stochastic Integration (1990)Introduction to Stochastic In…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equat…Diffusion processes with continuous coefficients, I (1969)Diffusion processes with cont…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)Stochastic differential equations with reflecting boundary condition in convex regions (1979)Approximating the GI/GI/1+GI Queue with a Nonlinear Drift Diffusion: Hazard Rate Scaling in Heavy Traffic (2008)Asymptotically Optimal Admission Control of a Queue with Impatient Customers (2008)Reflected Brownian Motion on an Orthant (1981)Problàme de Skorohod multivoque (1998)State-dependent stochastic networks. Part I. Approximations and applications with continuous diffusion limits (1998)Continuous Martingales and Brownian Motion (1991)Nonexistence of Brownian models for certain multiclass queueing networks (1993)Continuous Martingales and Brownian Motion (1999)Analysis, Design, and Control of Queueing Systems (2002)On a Formula Concerning Stochastic Differentials (1951)On stochastic differential equations (1951)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Stochastic differential games (1972)Sur l'int�grabilit� uniforme des martingales exponentielles (1978)Central limit theorems for local martingales (1980)Brownian Motion and Stochastic Flow Systems. (1987)Brownian Models of Performance and Control (2013)An introduction to large deviations for communication networks (1995)Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility (2001)Multi-dimensional BSDE with oblique reflection and optimal switching (2009)Ruin problems with assets and liabilities of diffusion type (1999)Stochastic integration in UMD Banach spaces (2007)Stochastic integration in UMD Banach spaces (2007)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 1969Diffusion processes with continuous coefficients, I364 cited
  • 1991On lipschitz continuity of the solution mapping to the skorokhod problem, with applications255 cited
  • 1990Introduction to Stochastic Integration219 cited
  • 2012An explicit formula for the Skorokhod map on [0,a160 cited
  • 1993SDEs with Oblique Reflection on Nonsmooth Domains148 cited
  • 2007An explicit formula for the Skorokhod map on [0, a]139 cited
  • 1993Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant130 cited
  • 1996Existence and Uniqueness of Semimartingale Reflecting Brownian Motions in Convex Polyhedrons104 cited
  • 1999Convex duality and the Skorokhod Problem. II100 cited
  • 2006Reflected Diffusions Defined via the Extended Skorokhod Map85 cited
  • 1999Convex duality and the Skorokhod Problem. I85 cited
  • 2008The Skorokhod problem in a time-dependent interval82 cited
  • 1991

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Regulations dÉterminates et stochastiques dans le premier “orthant” de R N
72 cited

Cited by

No citing works inside the corpus for this window.