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Stochastic differential equations with time-dependent reflecting barriers

Published:2012-01-23 Issue:1 Volume:85 Page:27-47
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Słomiński Leszek¹,Wojciechowski Tomasz²

Affiliation:

1. a Faculty of Mathematics and Computer Science, Nicolaus Copernicus University , ul. Chopina 12/18, 87-100, Torun , Poland

2. b Information & Communication Technology Centre, Nicolaus Copernicus University , pl. Rapackiego 1, 87-100, Torun , Poland

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2011.651212

Reference27 articles.

1. Stopping Times and Tightness

2. The Skorokhod problem in a time-dependent interval

3. Strong Solutions of Stochastic Differential Equations with Boundary Conditions

Cited by 13 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Backward stochastic differential equations with mean reflection and two constraints;Bulletin des Sciences Mathématiques;2022-05

2. SDEs with two reflecting barriers driven by semimartingales and processes with bounded p-variation;Stochastic Processes and their Applications;2022-04

3. Mean reflected stochastic differential equations with two constraints;Stochastic Processes and their Applications;2021-11

4. Explicit Solutions of the Extended Skorokhod Problems in Affine Transformations of Time-Dependent Strata;Journal of Probability and Statistics;2021-07-02

5. Nonparametric estimation of the trend in reflected fractional SDE;Statistics & Probability Letters;2020-03

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