SDEs with Oblique Reflection on Nonsmooth Domains

By Paul Dupuis, Hitoshi Ishii. 2008

167 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/b067e063163806d2b5759634f1b19718c9586107

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Theory and Mathematics

1. Shanjian Tang
2. A. Rășcanu
3. Ying Hu
4. 'Etienne Pardoux
5. Romuald Elie
6. Marie-Amélie Morlais
7. Anatolii A. Puhalskii

In Finance

1. Shanjian Tang
2. Ying Hu
3. A. Rășcanu
4. 'Etienne Pardoux
5. Shige Peng
6. P. Briand
7. Adrien Richou
8. Romuald Elie

In Numerical Analysis

1. A. Rășcanu
2. Ying Hu
3. 'Etienne Pardoux

Citations in the corpus

• Multi-dimensional BSDE with oblique reflection and optimal switching (2007, background): “(1.1) Here, W is a standard Brownian motion on a complete probability space (Ω,F , P ) and ξ is an m-dimensional random variable measurable with respect to the past of W up to time T . ξ is the terminal condition and ψ the coefficient (also called the generator). k is a real function defined on Λ ×…”
• Stochastic Differential Equations, Backward SDEs, Partial Differential Equations (2014, methodology): “Recall that @ IE .x/ D ; if x … E and 4.3 Reflected SDEs 313 @ IE .x/ D ( Ox 2 Rd W lim sup y!x; y2E h Ox; y xi jy xj 0 ) D NE .x/ ; if x 2 E: We introduce the following (the oblique reflection problem was initiated in Lions and Sznitman [43], see also Dupuis and Ishii [24]): Definition 4.58.”