Related papers: The Skorokhod problem in a time-dependent interval
In this paper, we study the mean reflected stochastic differential equations driven by G-Brownian motion, where the constraint depends on the expectation of the solution rather than on its paths. Well-posedness is achieved by first…
In this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of the underlying process is obtained in form of a functional…
We study a free boundary problem for a parabolic partial differential equation in which the solution is coupled to the moving boundary through an integral constraint. The problem arises as the hydrodynamic limit of an interacting particle…
Consider the motion of a Brownian particle in two or more dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservable time, one of the coordinate processes gets a…
We solve a class of doubly reflected backward stochastic differential equation whose generator depends on the resistance due to reflections, which extend the recent work of Qian and Xu on reflected BSDE with one barrier. We then obtain the…
We introduce an infinite time horizon Brownian bridge which is determined by a stochastic Langevin equation with time dependent drift coefficient. We show that this process goes to zero almost surely when the time goes to infinity and study…
We study a simple singular control problem for a Brownian motion with constant drift and variance reflected at the origin. Exerting control pushes the process towards the origin and generates a concave increasing state-dependent yield which…
Sticky Brownian motion on the real line can be obtained as a weak solution of a system of stochastic differential equations. We find the conditional distribution of the process given the driving Brownian motion, both at an independent…
We investigate reflected random walks in the quarter plane, with particular emphasis on the time spent along the reflection boundary axes. Assuming the drift of the random walk lies within the cone, the local time converges -- without the…
We give the correct condition for existence of the $k$-th derivative of the intersection local time for fractional Brownian motion, which was originally discussed in [Guo, J., Hu, Y., and Xiao, Y., Higher-order derivative of intersection…
We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a defaultable process. We suppose that the barrier have…
The study of both sensitivity analysis and differentiability of the stochastic flow of a reflected process in a convex polyhedral domain is challenging because the dynamics are discontinuous at the boundary of the domain and the boundary of…
We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of…
In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by G-Brownian motion (RGBSDE for short). The reflection keeps the solution above a given stochastic process. In order to…
We study the existence, optimality, and construction of non-randomised stopping times that solve the Skorokhod embedding problem (SEP) for Markov processes which satisfy a duality assumption. These stopping times are hitting times of…
Within the framework of variational modelling we derive a one-phase moving boundary problem describing the motion of a semipermeable membrane enclosing a viscous liquid, driven by osmotic pressure and surface tension of the membrane. For…
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affects the transition rates. We suppose that the controlled…
The main purpose of this work is to define planar self-intersection local time by an alternative approach which is based on an almost sure pathwise approximation of planar Brownian motion by simple, symmetric random walks. As a result,…
Given a random time, we characterize the set of martingales for which the stopping theorems still hold. We also investigate how the stopping theorems are modified when we consider arbitrary random times. To this end, we introduce some…
This paper focuses on controllability results of stochastic delay partial functional integro-differential equations perturbed by fractional Brownian motion. Sufficient conditions are established using the theory of resolvent operators…