Chadad, Monir; Erraoui, Mohamed Reflected stochastic differential equations driven by standard and fractional Brownian motion. (English) Zbl 1546.60074 Stoch. Dyn. 24, No. 2, Article ID 2450011, 34 p. (2024). MSC: 60G22 60H05 60H20 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Hanwu Backward stochastic differential equations with double mean reflections. (English) Zbl 1540.60118 Stochastic Processes Appl. 173, Article ID 104371, 16 p. (2024). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Li, Hanwu The Skorokhod problem with two nonlinear constraints. (English) Zbl 1539.60078 Probab. Math. Stat. 43, No. 2, 207-239 (2023). MSC: 60H20 60J65 60G17 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dianetti, Jodi; Ferrari, Giorgio Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls. (English) Zbl 1520.93610 Stochastic Processes Appl. 162, 547-592 (2023). MSC: 93E20 60H17 91A55 49J40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Criens, David; Pfaffelhuber, Peter; Schmidt, Thorsten The martingale problem method revisited. (English) Zbl 1534.60069 Electron. J. Probab. 28, Paper No. 19, 46 p. (2023). MSC: 60H10 60G44 60B10 60J60 60J25 60H20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Kaushansky, Vadim; Reisinger, Christoph; Shkolnikov, Mykhaylo; Song, Zhuo Qun Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem. (English) Zbl 1515.80006 Ann. Appl. Probab. 33, No. 1, 274-298 (2023). MSC: 80A22 35B44 65N20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Tsuzuki, Yukihiro Some perpetual integral functionals of the three-dimensional Bessel process. (English) Zbl 1521.60048 Stoch. Dyn. 23, No. 2, Article ID 2350008, 31 p. (2023). Reviewer: Alexandra Rodkina (College Station) MSC: 60J60 60J65 33C10 33D70 × Cite Format Result Cite Review PDF Full Text: DOI
Grigorova, Miryana; Li, Hanwu Stochastic representation under \(g\)-expectation and applications: the discrete time case. (English) Zbl 1510.60050 J. Math. Anal. Appl. 518, No. 1, Article ID 126703, 19 p. (2023). MSC: 60H10 60G40 91A50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Belopolskaya, Ya. I. A stochastic approach to the Cauchy-Neumann problem for systems of nonlinear parabolic equations. (English) Zbl 1539.60098 J. Math. Sci., New York 266, No. 6, Series A, 832-848 (2022). Reviewer: Pavel Gapeev (London) MSC: 60J60 35K55 35D30 × Cite Format Result Cite Review PDF Full Text: DOI
Fomichov, Vladimir; Franceschi, Sandro; Ivanovs, Jevgenijs Probability of total domination for transient reflecting processes in a quadrant. (English) Zbl 1499.60146 Adv. Appl. Probab. 54, No. 4, 1094-1138 (2022). MSC: 60G51 60J65 60K25 60K40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Campi, Luciano; De Angelis, Tiziano; Ghio, Maddalena; Livieri, Giulia Mean-field games of finite-fuel capacity expansion with singular controls. (English) Zbl 1501.35402 Ann. Appl. Probab. 32, No. 5, 3674-3717 (2022). MSC: 35Q89 35R35 60G40 91A15 91A16 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
El Kharroubi, Ahmed; El Masmari, Soukaina Fluid limits of a loss storage network. (English) Zbl 1494.90016 Queueing Syst. 101, No. 1-2, 137-164 (2022). MSC: 90B06 60J25 60F05 60J60 × Cite Format Result Cite Review PDF Full Text: DOI
Bayraktar, Erhan; Bernhardt, Thomas On the continuity of the Root barrier. (English) Zbl 1517.60045 Proc. Am. Math. Soc. 150, No. 7, 3133-3145 (2022). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Falkowski, Adrian; Słomiński, Leszek Backward stochastic differential equations with mean reflection and two constraints. (English) Zbl 1511.60083 Bull. Sci. Math. 176, Article ID 103117, 31 p. (2022). Reviewer: Romeo Negrea (Timişoara) MSC: 60H10 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Guo, Xin; Tang, Wenpin; Xu, Renyuan A class of stochastic games and moving free boundary problems. (English) Zbl 1484.91033 SIAM J. Control Optim. 60, No. 2, 758-785 (2022). MSC: 91A15 60H10 60J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Cont, Rama; Guo, Xin; Xu, Renyuan Interbank lending with benchmark rates: Pareto optima for a class of singular control games. (English) Zbl 1522.91297 Math. Finance 31, No. 4, 1357-1393 (2021). MSC: 91G45 91A15 60H17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Acciaio, Beatrice; Cox, Alexander M. G.; Huesmann, Martin Model-independent pricing with insider information: a Skorokhod embedding approach. (English) Zbl 1481.91207 Adv. Appl. Probab. 53, No. 1, 30-56 (2021). MSC: 91G20 60G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Jarni, Imane; Ouknine, Youssef On reflection with two-sided jumps. (English) Zbl 1485.60065 J. Theor. Probab. 34, No. 4, 1811-1830 (2021). Reviewer: Henri Schurz (Carbondale) MSC: 60H20 60H10 60G44 60G17 × Cite Format Result Cite Review PDF Full Text: DOI
Budhiraja, Amarjit; Friedlander, Eric; Wu, Ruoyu Many-server asymptotics for join-the-shortest-queue: large deviations and rare events. (English) Zbl 1477.60053 Ann. Appl. Probab. 31, No. 5, 2376-2419 (2021). MSC: 60F10 60J76 90B15 91B70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Allan, Andrew L.; Liu, Chong; Prömel, David J. Càdlàg rough differential equations with reflecting barriers. (English) Zbl 1494.60062 Stochastic Processes Appl. 142, 79-104 (2021). Reviewer: Feng Chen (Changchun) MSC: 60H10 60L20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Falkowski, Adrian; Słomiński, Leszek Mean reflected stochastic differential equations with two constraints. (English) Zbl 1480.60187 Stochastic Processes Appl. 141, 172-196 (2021). MSC: 60H20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Slaby, Marek Explicit solutions of the extended Skorokhod problems in affine transformations of time-dependent strata. (English) Zbl 1470.60165 J. Probab. Stat. 2021, Article ID 9992546, 10 p. (2021). MSC: 60H10 60G17 × Cite Format Result Cite Review PDF Full Text: DOI
Lipshutz, David; Ramanan, Kavita Sensitivity analysis for the stationary distribution of reflected Brownian motion in a convex polyhedral cone. (English) Zbl 1478.60223 Math. Oper. Res. 46, No. 2, 524-558 (2021). MSC: 60J65 60G17 60G40 65C35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ghoussoub, Nassif; Kim, Young-Heon; Palmer, Aaron Zeff A solution to the Monge transport problem for Brownian martingales. (English) Zbl 1475.49056 Ann. Probab. 49, No. 2, 877-907 (2021). Reviewer: Wojciech Górny (Warszawa) MSC: 49Q22 60J65 49N15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ramasubramanian, S. Correction note to: “A multidimensional ruin problem and an associated notion of duality”. (English) Zbl 1464.91069 Stoch. Models 37, No. 2, 300-316 (2021). MSC: 91G05 60G50 90B15 × Cite Format Result Cite Review PDF Full Text: DOI
Gassiat, Paul; Oberhauser, Harald; Zou, Christina Z. A free boundary characterisation of the root barrier for Markov processes. (English) Zbl 1484.60050 Probab. Theory Relat. Fields 180, No. 1-2, 33-69 (2021). MSC: 60G40 60J45 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bayraktar, Erhan; Zhang, Xin Embedding of Walsh Brownian motion. (English) Zbl 1469.60252 Stochastic Processes Appl. 134, 1-28 (2021). MSC: 60J65 60G40 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gradinaru, Mihai; Haugomat, Tristan Locally Feller processes and martingale local problems. (English) Zbl 1466.60148 Stochastic Processes Appl. 133, 129-165 (2021). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 60J25 60G44 60J35 60B10 47D07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gushchin, A. A. The joint law of a max-continuous local submartingale and its maximum. (English. Russian original) Zbl 1469.60128 Theory Probab. Appl. 65, No. 4, 545-557 (2021); translation from Teor. Veroyatn. Primen. 65, No. 4, 693-709 (2020). MSC: 60G44 60G70 × Cite Format Result Cite Review PDF Full Text: DOI
Hilbert, Astrid; Jarni, Imane; Ouknine, Youssef On reflected stochastic differential equations driven by regulated semimartingales. (English) Zbl 1460.60072 Stat. Probab. Lett. 167, Article ID 108912, 7 p. (2020). MSC: 60H20 60G17 × Cite Format Result Cite Review PDF Full Text: DOI
Richard, Alexandre; Tan, Xiaolu; Touzi, Nizar On the root solution to the Skorokhod embedding problem given full marginals. (English) Zbl 1453.60095 SIAM J. Control Optim. 58, No. 4, 1874-1892 (2020). MSC: 60G40 60G44 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Richard, Alexandre; Tanré, Etienne; Torres, Soledad Penalisation techniques for one-dimensional reflected rough differential equations. (English) Zbl 1482.60130 Bernoulli 26, No. 4, 2949-2986 (2020). Reviewer: Isamu Dôku (Saitama) MSC: 60L20 60H10 60G99 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Nguyen, Giang T.; Peralta, Oscar An explicit solution to the Skorokhod embedding problem for double exponential increments. (English) Zbl 1450.60033 Stat. Probab. Lett. 165, Article ID 108867, 4 p. (2020). MSC: 60G40 60H10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Castaing, Charles; Marques, Manuel D. P. Monteiro; Saïdi, Soumia Evolution problems with time-dependent subdifferential operators. (English) Zbl 1448.34125 Maruyama, Toru (ed.), Advances in mathematical economics. Vol. 23. Singapore: Springer. Adv. Math. Econ. 23, 1-39 (2020). Reviewer: Daniel C. Biles (Nashville) MSC: 34G25 34A60 47J22 49J52 49J53 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Jiajie Minimal Root’s embeddings for general starting and target distributions. (English) Zbl 1471.60058 Stochastic Processes Appl. 130, No. 2, 521-544 (2020). MSC: 60G40 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Marie, Nicolas Nonparametric estimation of the trend in reflected fractional SDE. (English) Zbl 1436.62113 Stat. Probab. Lett. 158, Article ID 108659, 8 p. (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 62G05 62G20 60G22 60F05 60H15 62G07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lakner, Peter; Reed, Josh; Zwart, Bert On the roughness of the paths of RBM in a wedge. (English. French summary) Zbl 1466.60168 Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 3, 1566-1598 (2019). MSC: 60J65 60J27 60G17 60G52 60J55 × Cite Format Result Cite Review PDF Full Text: DOI Euclid Link
Lipshutz, David; Ramanan, Kavita Pathwise differentiability of reflected diffusions in convex polyhedral domains. (English. French summary) Zbl 1466.60076 Ann. Inst. Henri Poincaré, Probab. Stat. 55, No. 3, 1439-1476 (2019). MSC: 60G17 90C31 93B35 60H07 60H10 65C30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Döring, Leif; Gonon, Lukas; Prömel, David J.; Reichmann, Oleg On Skorokhod embeddings and Poisson equations. (English) Zbl 1466.60083 Ann. Appl. Probab. 29, No. 4, 2302-2337 (2019). MSC: 60G40 60J76 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Ankirchner, Stefan; Kazi-Tani, Nabil; Klein, Maike; Kruse, Thomas Stopping with expectation constraints: 3 points suffice. (English) Zbl 1456.60094 Electron. J. Probab. 24, Paper No. 66, 16 p. (2019). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60J60 60B05 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Lin, Yiqing; Hima, Abdoulaye Soumana Reflected stochastic differential equations driven by \(G\)-Brownian motion in non-convex domains. (English) Zbl 1415.60065 Stoch. Dyn. 19, No. 3, Article ID 1950025, 21 p. (2019). MSC: 60H10 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Cox, Alexander M. G.; Kinsley, Sam M. Robust hedging of options on a leveraged exchange traded fund. (English) Zbl 1409.60064 Ann. Appl. Probab. 29, No. 1, 531-576 (2019). MSC: 60G40 91G20 60G44 60J60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid Link
Cox, Alexander M. G.; Obłój, Jan; Touzi, Nizar The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach. (English) Zbl 1478.60133 Probab. Theory Relat. Fields 173, No. 1-2, 211-259 (2019). MSC: 60G40 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
De Raynal, Paul-Éric Chaudru; Pagès, Gilles; Rey, Clément Numerical methods for stochastic differential equations: two examples. (English) Zbl 07007410 ESAIM, Proc. Surv. 64, 65-77 (2018). MSC: 65C30 60H15 × Cite Format Result Cite Review PDF Full Text: DOI
Asmussen, Søren; Ivanovs, Jevgenijs Discretization error for a two-sided reflected Lévy process. (English) Zbl 1408.60036 Queueing Syst. 89, No. 1-2, 199-212 (2018). MSC: 60G51 60G50 60G52 65C05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Azzam-Laouir, Dalila; Castaing, Charles; Monteiro Marques, M. D. P. Perturbed evolution problems with continuous bounded variation in time and applications. (English) Zbl 1403.34046 Set-Valued Var. Anal. 26, No. 3, 693-728 (2018). Reviewer: Daniel C. Biles (Nashville) MSC: 34G25 34A12 34A60 34H05 60H10 28A25 28C20 34K09 × Cite Format Result Cite Review PDF Full Text: DOI
Ibragimov, I. A.; Smorodina, N. V.; Faddeev, M. M. Initial boundary value problems in a bounded domain: probabilistic representations of solutions and limit theorems. II. (English. Russian original) Zbl 1406.35090 Theory Probab. Appl. 62, No. 3, 356-372 (2018); translation from Teor. Veroyatn. Primen. 62, No. 3, 446-467 (2017). MSC: 35C15 35K20 35Q41 × Cite Format Result Cite Review PDF Full Text: DOI
Lipshutz, David; Ramanan, Kavita On directional derivatives of Skorokhod maps in convex polyhedral domains. (English) Zbl 1401.90232 Ann. Appl. Probab. 28, No. 2, 688-750 (2018). Reviewer: Jan-Joachim Rückmann (Bergen) MSC: 90C31 93B35 60G17 90B15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Bayraktar, Erhan; Song, Qingshuo Solvability of the nonlinear Dirichlet problem with integro-differential operators. (English) Zbl 1386.60234 SIAM J. Control Optim. 56, No. 1, 292-315 (2018). Reviewer: Nikolaos Halidias (Athens) MSC: 60H30 47G20 93E20 60J75 49L25 35J60 35J66 × Cite Format Result Cite Review PDF Full Text: DOI
Eyi-Obiang, Fulgence; Ouknine, Youssef; Moutsinga, Octave; Trutnau, Gerald Some contributions to the study of stochastic processes of the classes \(\Sigma (H)\) and \((\Sigma)\). (English) Zbl 1394.60056 Stochastics 89, No. 8, 1253-1269 (2017). MSC: 60H05 60G40 60G44 60J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lysenko, Nikolay Maximization of functionals depending on the terminal value and the running maximum of a martingale: a mass transport approach. (English) Zbl 1399.60073 Theory Stoch. Process. 22, No. 1, 30-40 (2017). MSC: 60G44 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Zhang, Hua Existence and uniqueness of perturbed reflected jump diffusion processes. (English) Zbl 1387.60094 Stochastic Anal. Appl. 35, No. 6, 1047-1059 (2017). MSC: 60H10 60J60 × Cite Format Result Cite Review PDF Full Text: DOI
Hambly, Ben; Ledger, Sean A stochastic McKean-Vlasov equation for absorbing diffusions on the half-line. (English) Zbl 1379.60068 Ann. Appl. Probab. 27, No. 5, 2698-2752 (2017). MSC: 60H15 60H30 60F15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid Link
Obłój, Jan; Spoida, Peter An iterated Azéma-Yor type embedding for finitely many marginals. (English) Zbl 1380.60048 Ann. Probab. 45, No. 4, 2210-2247 (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G40 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail A functional limit theorem for irregular SDEs. (English. French summary) Zbl 1372.60043 Ann. Inst. Henri Poincaré, Probab. Stat. 53, No. 3, 1438-1457 (2017). MSC: 60F17 60F05 60H10 60J60 60G50 60G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Matoussi, Anis; Sabbagh, Wissal; Zhang, Tusheng Backward doubly SDEs and semilinear stochastic PDEs in a convex domain. (English) Zbl 1372.60085 Stochastic Processes Appl. 127, No. 9, 2781-2815 (2017). MSC: 60H10 60H15 60G46 35R60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Levajković, Tijana; Mena, Hermann Equations involving Malliavin calculus operators. Applications and numerical approximation. (English) Zbl 1388.60007 SpringerBriefs in Mathematics. Cham: Springer (ISBN 978-3-319-65677-9/pbk; 978-3-319-65678-6/ebook). x, 132 p. (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60-02 60H07 60H10 60H15 60H40 49J55 × Cite Format Result Cite Review PDF Full Text: DOI
Källblad, Sigrid; Tan, Xiaolu; Touzi, Nizar Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks. (English) Zbl 1370.60075 Ann. Appl. Probab. 27, No. 2, 686-719 (2017). MSC: 60G40 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid Link
Cerrai, Sandra; Freidlin, Mark SPDEs on narrow domains and on graphs: an asymptotic approach. (English. French summary) Zbl 1367.60078 Ann. Inst. Henri Poincaré, Probab. Stat. 53, No. 2, 865-899 (2017). MSC: 60H15 60J27 35R60 35R02 70K65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Beiglböck, Mathias; Cox, Alexander M. G.; Huesmann, Martin Optimal transport and Skorokhod embedding. (English) Zbl 1371.60072 Invent. Math. 208, No. 2, 327-400 (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G40 49Q20 60J65 60J25 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kang, Weining; Ramanan, Kavita On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries. (English) Zbl 1459.60162 Ann. Probab. 45, No. 1, 404-468 (2017). MSC: 60J60 60H10 60J65 90B15 90B22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Gassous, Anouar M. A Skorohod problem driven by Clarke subdifferential and applications to SDEs. (English) Zbl 1389.47150 An. Științ. Univ. Al. I. Cuza Iași, Ser. Nouă, Mat. 62, No. 2, Part 1, 285-303 (2016). MSC: 47J20 60H10 49J40 × Cite Format Result Cite Review PDF
Raju, I. Venkat Appal; Ramasubramanian, S. Risk diversifying treaty between two companies with only one in insurance business. (English) Zbl 1364.91070 Sankhyā, Ser. B 78, No. 2, 183-214 (2016). MSC: 91B30 60K10 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Piiroinen, Petteri; Simon, Martin From Feynman-Kac formulae to numerical stochastic homogenization in electrical impedance tomography. (English) Zbl 1353.60063 Ann. Appl. Probab. 26, No. 5, 3001-3043 (2016). MSC: 60H30 60J45 60J55 35R60 35Q60 78M40 65C05 65N21 92C55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Zhou, Yijing; Cai, Wei Numerical solution of the Robin problem of Laplace equations with a Feynman-Kac formula and reflecting Brownian motions. (English) Zbl 1352.65021 J. Sci. Comput. 69, No. 1, 107-121 (2016). MSC: 65C30 60H15 60H35 35R60 60J65 35J05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Levajković, Tijana; Mena, Hermann; Tuffaha, Amjad The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach. (English) Zbl 1350.49019 Evol. Equ. Control Theory 5, No. 1, 105-134 (2016). MSC: 49J55 49N10 49M30 60H10 60H30 60H05 60H40 93E20 15A24 × Cite Format Result Cite Review PDF Full Text: DOI
Ramasubramanian, S. A multidimensional ruin problem and an associated notion of duality. (English) Zbl 1415.91161 Stoch. Models 32, No. 4, 539-574 (2016); correction ibid. 37, No. 2, 300-316 (2021). MSC: 91B30 60G50 60J75 90B15 × Cite Format Result Cite Review PDF Full Text: DOI
Castaing, C.; Marques, M. D. P. Monteiro; Raynaud De Fitte, P. A Skorokhod problem governed by a closed convex moving set. (English) Zbl 1350.34048 J. Convex Anal. 23, No. 2, 387-423 (2016). Reviewer: Valerii V. Obukhovskij (Voronezh) MSC: 34G25 49J52 49J53 60H10 × Cite Format Result Cite Review PDF Full Text: Link
Boryc, Marcin; Kruk, Łukasz Characterization of the optimal policy for a multidimensional parabolic singular stochastic control problem. (English) Zbl 1342.93120 SIAM J. Control Optim. 54, No. 3, 1657-1677 (2016). MSC: 93E20 49J55 49K45 60J65 60G17 × Cite Format Result Cite Review PDF Full Text: DOI
Golec, Janusz Numerical approaches to a stochastic logistic model with reflection. (English) Zbl 1342.60114 Dyn. Contin. Discrete Impuls. Syst., Ser. A, Math. Anal. 23, No. 3, 209-216 (2016). MSC: 60H35 60H10 60H30 65C30 × Cite Format Result Cite Review PDF Full Text: Link Link
Delgado, Rosario A two-queue polling model with priority on one queue and heavy-tailed on/off sources: a heavy-traffic limit. (English) Zbl 1341.60112 Queueing Syst. 83, No. 1-2, 57-85 (2016). MSC: 60K25 60F17 60F05 60G22 60G15 60G18 60G48 90B22 68M20 × Cite Format Result Cite Review PDF Full Text: DOI
Ankirchner, Stefan; Kruse, Thomas; Urusov, Mikhail Numerical approximation of irregular SDEs via Skorokhod embeddings. (English) Zbl 1382.60090 J. Math. Anal. Appl. 440, No. 2, 692-715 (2016). MSC: 60H35 60H10 65C30 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Feng, Han; Hobson, David Gambling in contests with random initial law. (English) Zbl 1335.60058 Ann. Appl. Probab. 26, No. 1, 186-215 (2016). MSC: 60G40 60J65 91A60 91A05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Imkeller, Peter; Willrich, Niklas Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs. (English) Zbl 1334.60068 Stochastic Processes Appl. 126, No. 3, 703-734 (2016). MSC: 60G44 60H10 60G51 60G52 60J25 60J75 60G46 47G30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats Lévy processes with two-sided reflection. (English) Zbl 1338.60126 Andersen, Lars Nørvang et al., Lévy matters V. Functionals of Lévy processes. Cham: Springer (ISBN 978-3-319-23137-2/pbk; 978-3-319-23138-9/ebook). Lecture Notes in Mathematics 2149. Lévy Matters, 67-182 (2015). MSC: 60G51 60F17 60F05 60F10 60G44 60J55 60K25 60K30 34K50 × Cite Format Result Cite Review PDF Full Text: DOI
Pihlsgård, Mats Local martingales with two reflecting barriers. (English) Zbl 1334.60069 J. Appl. Probab. 52, No. 4, 1062-1075 (2015). MSC: 60G48 60G44 60F15 60F05 60G51 60H05 60J65 60G17 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Falkowski, Adrian; Słomiński, Leszek Stochastic differential equations with constraints driven by processes with bounded \(p\)-variation. (English) Zbl 1333.60119 Probab. Math. Stat. 35, No. 2, 343-365 (2015). MSC: 60H10 60H20 60G22 × Cite Format Result Cite Review PDF Full Text: arXiv Link
Fromm, Alexander; Imkeller, Peter; Prömel, David J. An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift. (English) Zbl 1332.60081 Electron. J. Probab. 20, Paper No. 127, 38 p. (2015). MSC: 60H10 60G40 60G15 60H30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lipshutz, David; Williams, Ruth J. Existence, uniqueness, and stability of slowly oscillating periodic solutions for delay differential equations with nonnegativity constraints. (English) Zbl 1343.34160 SIAM J. Math. Anal. 47, No. 6, 4467-4535 (2015). Reviewer: Xueyan Liu (Chattanooga) MSC: 34K13 34K11 34K20 92B25 47N20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hobson, David Integrability of solutions of the Skorokhod embedding problem for diffusions. (English) Zbl 1328.60104 Electron. J. Probab. 20, Paper No. 83, 26 p. (2015). MSC: 60G40 60J60 60J65 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Kleptsyn, Victor; Kurtzmann, Aline A counterexample to the Cantelli conjecture through the Skorokhod embedding problem. (English) Zbl 1372.60057 Ann. Probab. 43, No. 5, 2250-2281 (2015). Reviewer: Oliver Janke (Berlin) MSC: 60G40 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Gassiat, Paul; Oberhauser, Harald; dos Reis, Gonçalo Root’s barrier, viscosity solutions of obstacle problems and reflected FBSDEs. (English) Zbl 1335.60059 Stochastic Processes Appl. 125, No. 12, 4601-4631 (2015). MSC: 60G40 60H10 35D40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Buckdahn, Rainer; Maticiuc, Lucian; Pardoux, Etienne; Răşcanu, Aurel Stochastic variational inequalities on non-convex domains. (English) Zbl 1341.60050 J. Differ. Equations 259, No. 12, 7332-7374 (2015). MSC: 60H10 60H99 49J40 60J60 49J52 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Sarantsev, Andrey Triple and simultaneous collisions of competing Brownian particles. (English) Zbl 1321.60213 Electron. J. Probab. 20, Paper No. 29, 28 p. (2015). MSC: 60K35 60J65 60J60 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gassiat, Paul; Mijatović, Aleksandar; Oberhauser, Harald An integral equation for Root’s barrier and the generation of Brownian increments. (English) Zbl 1328.60103 Ann. Appl. Probab. 25, No. 4, 2039-2065 (2015). MSC: 60G40 60J65 45G10 65C05 65C40 65C30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Ankirchner, Stefan; Hobson, David; Strack, Philipp Finite, integrable and bounded time embeddings for diffusions. (English) Zbl 1328.60101 Bernoulli 21, No. 2, 1067-1088 (2015). MSC: 60G40 60J60 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Cox, Alexander M. G.; Obłój, Jan On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale. (English) Zbl 1328.60109 Stochastic Processes Appl. 125, No. 8, 3280-3300 (2015). MSC: 60G44 60G70 60G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Maticiuc, Lucian; Răşcanu, Aurel; Słomiński, Leszek; Topolewski, Mateusz Càdlàg Skorokhod problem driven by a maximal monotone operator. (English) Zbl 1338.60149 J. Math. Anal. Appl. 429, No. 2, 1305-1346 (2015). MSC: 60H10 60H99 60H35 47H04 47H05 65C30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Feng, Han; Hobson, David Gambling in contests modelled with diffusions. (English) Zbl 1398.91295 Decis. Econ. Finance 38, No. 1, 21-37 (2015). MSC: 91B26 60G40 60J60 × Cite Format Result Cite Review PDF Full Text: DOI
Gamarnik, David; Katz, Dmitriy The stability of the deterministic Skorokhod problem is undecidable. (English) Zbl 1326.60127 Queueing Syst. 79, No. 3-4, 221-249 (2015). MSC: 60K25 60J65 68M20 90B22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Semrau-Giłka, Alina On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients. (English) Zbl 1329.60238 Stat. Probab. Lett. 96, 315-321 (2015). MSC: 60H35 60H10 60H05 60H20 60F17 60F05 60F25 65C30 × Cite Format Result Cite Review PDF Full Text: DOI
Łochowski, R.; Ghomrasni, R. The play operator, the truncated variation and the generalisation of the Jordan decomposition. (English) Zbl 1307.60028 Math. Methods Appl. Sci. 38, No. 3, 403-419 (2015). MSC: 60F17 60F15 60G44 60G17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Touzi, Nizar Martingale inequalities, optimal martingale transport, and robust superhedging. (English) Zbl 1356.60069 ESAIM, Proc. Surv. 45, 32-47 (2014). MSC: 60G44 60G40 91G80 60-02 × Cite Format Result Cite Review PDF Full Text: DOI
Jaimungal, S.; Kreinin, A.; Valov, A. The generalized Shiryaev problem and Skorokhod embedding. (English. Russian original) Zbl 1328.60105 Theory Probab. Appl. 58, No. 3, 493-502 (2014); translation from Teor. Veroyatn. Primen. 58, No. 3, 614-623 (2013). MSC: 60G40 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
De Angelis, Tiziano; Ferrari, Giorgio A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis. (English) Zbl 1295.93073 Stochastic Processes Appl. 124, No. 12, 4080-4119 (2014). MSC: 93E20 60G40 35R35 91A15 91B70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Răşcanu, Aurel; Rotenstein, Eduard A non-convex setup for multivalued differential equations driven by oblique subgradients. (English) Zbl 1307.34035 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 111, 82-104 (2014). Reviewer: Aurelian Cernea (Bucharest) MSC: 34A60 47N10 × Cite Format Result Cite Review PDF Full Text: DOI
Cox, Alexander Matthew Gordon; Klimmek, Martin From minimal embeddings to minimal diffusions. (English) Zbl 1312.60093 Electron. Commun. Probab. 19, Paper No. 34, 13 p. (2014). MSC: 60J60 60J55 60G44 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Feuillet, Mathieu; Robert, Philippe A scaling analysis of a transient stochastic network. (English) Zbl 1303.60085 Adv. Appl. Probab. 46, No. 2, 516-535 (2014). Reviewer: Vyacheslav Abramov (Melbourne) MSC: 60K25 60F05 68M14 90B05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Zhang, Haisen Stochastic theta method for a reflected stochastic differential equation. (English) Zbl 1291.65027 Numer. Funct. Anal. Optim. 35, No. 6, 752-776 (2014). MSC: 65C30 × Cite Format Result Cite Review PDF Full Text: DOI
Łochowski, Rafał Marcin; Ghomrasni, Raouf Integral and local limit theorems for level crossings of diffusions and the Skorohod problem. (English) Zbl 1296.60082 Electron. J. Probab. 19, Paper No. 10, 33 p. (2014). Reviewer: Peter Parczewski (Mannheim) MSC: 60F17 60F15 60G44 60G17 × Cite Format Result Cite Review PDF Full Text: DOI