Related papers: Integral representation of Skorokhod reflection

We give an extension of the theory of relaxation of variational integrals in classical Sobolev spaces to the setting of metric Sobolev spaces. More precisely, we establish a general framework to deal with the problem of finding an integral…

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…

We consider reflected backward stochastic differential equations with two general optional barriers. The solutions to these equations have the so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove…

We construct a family of SDEs whose solutions select a reflected Brownian flow as well as a stochastic damped transport process (W\_t). The latter gives a representation for the solutions to the heat equation for differential 1-forms with…

We prove existence and uniqueness of L^p solutions of reflected backward stochastic differential equations with p-integrable data and generators satisfying the monotonicity condition. We also show that the solution may be approximated by…

We give a complete characterization of all real-valued functions on the unit circle $S^1$ that can be represented by integrating the spherical distance on $S^1$ with respect to a signed measure or a probability measure.

We introduce a new type of reflected backward stochastic differential equations (BSDEs) for which the reflection constraint is imposed on its main solution component, denoted as $Y$ by convention, but in terms of its conditional expectation…

We prove that if $f:I\subset \Bbb R\to \Bbb R$ is of bounded variation, then the noncentered maximal function $Mf$ is absolutely continuous, and its derivative satisfies the sharp inequality $\|DMf\|_1\le |Df|(I)$. This allows us obtain,…

We prove the existence of the reflected diffusion on a complex of an arbitrary size for a large class of planar simple nested fractals. Such a process is obtained as a folding projection of the free Brownian motion from the unbounded…

We prove sharp local and global variation bounds for the centred Hardy--Littlewood maximal functions of indicator functions in one dimension. We characterise maximisers, treat both the continuous and discrete settings and extend our results…

In this paper, we study the doubly conditional reflected backward stochastic differential equations (BSDEs), where constraints are made on the conditional expectation of the first component of the solution with respect to a general…

We consider the Cauchy problem for semilinear parabolic equation in divergence form with obstacle. We show that under natural conditions on the right-hand side of the eqution and mild conditions on the obstacle a unique continuous solution…

The Douglas-Rachford reflection method is a general purpose algorithm useful for solving the feasibility problem of finding a point in the intersection of finitely many sets. In this chapter we demonstrate that applied to a specific…

The article deals with existence and uniqueness of the solution of the following differential equation (a c\`adl\`ag Skorokhod problem) driven by a maximal monotone operator and with singular input generated by the c\`{a}dl\`{a}g function…

The Skorokhod embedding problem is to represent a given probability as the distribution of Brownian motion at a chosen stopping time. Over the last 50 years this has become one of the important classical problems in probability theory and a…

This paper studies a system of $m$ variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result is the existence and uniqueness of a continuous solution in…

The aim of this paper is twofold. First, we establish the representation formula and the uniqueness of the solutions to a class of inhomogeneous biharmonic Dirichlet problems, and then prove the bi-Lipschitz continuity of the solutions.

In this paper, we consider a class of multi-dimensional stochastic delay differential equations with jump reflection. Based on existence and uniqueness of the strong solution to the equation, we prove that the Markov semigroup generated by…

We introduce the notion of mild supersolution for an obstacle problem in an infinite dimensional Hilbert space. The minimal supersolution of this problem is given in terms of a reflected BSDEs in an infinite dimensional Markovian framework.…

Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…