A Viability Approach to the Skorohod Problem

Frankowska H (1984). A Viability Approach to the Skorohod Problem. IIASA Collaborative Paper. IIASA, Laxenburg, Austria: CP-84-013

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Abstract

The theory of stochastic differential equations with reflecting boundary conditions leads to the "Skorohod" problem. This report proposes a solution to this problem using techniques from viability theory and nonsmooth analysis, allowing very general situations to occur.

Item Type: Monograph (IIASA Collaborative Paper)
Research Programs: Dynamic Systems (DYN)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:55
Last Modified: 22 Jul 2016 21:35
URI: http://pure.iiasa.ac.at/2564

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