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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: | 27 Aug 2021 17:12 |
| URI: | https://pure.iiasa.ac.at/2564 |
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