相关论文: Existence and uniqueness of reflecting diffusions …

Two frameworks that have been used to characterize reflected diffusions include stochastic differential equations with reflection and the so-called submartingale problem. We introduce a general formulation of the submartingale problem for…

We study existence and uniqueness for one-dimensional generalized stochastic differential equations with singular coefficients, including distributional drift and degenerate, possibly discontinuous, diffusion coefficients. Such…

We prove existence and uniqueness for semimartingale reflecting diffusions in 2-dimensional piecewise smooth domains with varying, oblique directions of reflection on each "side", under geometric, easily verifiable conditions. Our…

We prove existence and uniqueness of the solution of a one-dimensional rough differential equation driven by a step-2 rough path and reflected at zero. In order to deal with the lack of control of the reflection measure the proof uses some…

For continuous \gamma, g:[0,1]\to(0,\infty), consider the degenerate stochastic differential equation dX_t=[1-|X_t|^2]^{1/2}\gamma(|X_t|) dB_t-g(|X_t|)X_t dt in the closed unit ball of R^n. We introduce a new idea to show pathwise…

We are interested in the uniqueness of solutions of a nonlinear, pseudomonotone, stochastic diffusion evolution problem with homogeneous Dirichlet boundary conditions with reflection, where the noise term is additive and given by a…

In this paper, we develop a general methodology to prove weak uniqueness for stochastic differential equations with coefficients depending on some path-functionals of the process. As an extension of the technique developed by Bass \&…

Let $E$ be a complete, separable metric space and $A$ be an operator on $C_b(E)$. We give an abstract definition of viscosity sub/supersolution of the resolvent equation $\lambda u-Au=h$ and show that, if the comparison principle holds,…

Reflected diffusions in convex polyhedral domains arise in a variety of applications, including interacting particle systems, queueing networks, biochemical reaction networks and mathematical finance. Under suitable conditions on the data,…

In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining \emph{a…

In this paper, we study the well-posedness of backward doubly stochastic differential equations (BDSDEs), both with and without reflection, under weak conditions. First, when the generator $f$ is of general growth in $y$ and linear growth…

Consider a one-dimensional diffusion process which has state-dependent drift and deviation and is reflected at the origin, which is called a one-side reflected diffusion or simply reflected diffusion. We are particularly interested in the…

In this article, we consider non-smooth time-dependent domains and single-valued, smoothly varying directions of reflection at the boundary. In this setting, we first prove existence and uniqueness of strong solutions to stochastic…

We study a nonlinear, pseudomonotone, stochastic diffusion-convection evolution problem on a bounded spatial domain, in any space dimension, with homogeneous boundary conditions and reflection. The additive noise term is given by a…

This paper establishes a fundamental and surprising phenomenon in the theory of stochastic wave equations: the restoration of the unique continuation property (UCP) across characteristic hypersurfaces, a property that is known to fail…

We study the problem of the existence, uniqueness and stability of solutions of reflected stochastic differential equations (SDEs) with a minimality condition depending on the law of the solution (and not on the paths). We require that some…

Given a point S and any irreducible algebraic curve C in P^2 (with any type of singularities), we consider the caustic of reflection defined as the Zariski closure of the envelope of the reflected lines from the point S on the curve C. We…

We study the problem of existence and uniqueness of solutions of backward stochastic differential equations with two reflecting irregular barriers, $L^p$ data and generators satisfying weak integrability conditions. We deal with equations…

In this paper we consider stochastic differential equations with discontinuous diffusion coefficient of varying sign, for which weak existence and uniqueness holds but strong uniqueness fails. We introduce the notion of $\varphi $-strong…

We prove the existence of a solution to an equation governing the number density within a compact domain of a discrete particle system for a prescribed class of particle interactions taking into account the effects of the diffusion and…