A viability approach to the skorohod problem
- 1 February 1985
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 14 (3) , 227-244
- https://doi.org/10.1080/17442508508833340
Abstract
The theory of stochastic differential equations with reflecting boundary conditions leads to the "Skorohod" problem. Thispaper proposes a solution to this problem using techniques from viability theory and non-smooth analysis, allowing very general situations to occur.Keywords
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