Reflected Diffusion Processes with Jumps
نویسندگان
چکیده
منابع مشابه
Reflected Diffusion Processes with Jumps
A stochastic differential equation of Wiener-Poisson type is considered in a d-dimensional bounded region. By using a penalization argument on the domain, we are able to prove the existence and uniqueness of solutions in the strong sense. The main assumptions are Lipschitzian coefficients, either convex or smooth domains and a regular outward reflecting direction. As a direct consequence, it is...
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We discuss ergodicity properties of a controlled jumps diffusion process reflected from the boundary of a bounded domain. The control parameters act on the drift term and on a first order type jump density. The controlled process is generated via a Girsanov change of probability, and a long run average criterion is to be optimized. By means of the Hamilton-Jacobi-Bellman equation, an optimal st...
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In the first part of this paper we give a solution for the one-dimensional reflected backward stochastic differential equation (BSDE for short) when the noise is driven by a Brownian motion and an independent Poisson point process. The reflecting process is right continuous with left limits (rcll for short) whose jumps are arbitrary. We first prove existence and uniqueness of the solution for a...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 1985
ISSN: 0091-1798
DOI: 10.1214/aop/1176992994