An introduction to stochastic differential equations with reflection

  • These lecture notes are intended as a short introduction to diffusion processes on a domain with a reflecting boundary for graduate students, researchers in stochastic analysis and interested readers. Specific results on stochastic differential equations with reflecting boundaries such as existence and uniqueness, continuity and Markov properties, relation to partial differential equations and submartingale problems are given. An extensive list of references to current literature is included. This book has its origins in a mini-course the author gave at the University of Potsdam and at the Technical University of Berlin in Winter 2013.

Download full text files

Export metadata

Additional Services

Search Google Scholar Statistics
Metadaten
Author details:Andrey Pilipenko
URN:urn:nbn:de:kobv:517-opus-70782
ISBN:978-3-86956-297-1
ISSN:2199-4951
ISSN:2199-496X
Title of parent work (English):Lectures in pure and applied mathematics
Publication series (Volume number):Lectures in pure and applied mathematics (1)
Publisher:Universitätsverlag Potsdam
Place of publishing:Potsdam
Further contributing person(s):Sylvie Roelly
Publication type:Monograph/Edited Volume
Language:English
Year of first publication:2014
Publication year:2014
Publishing institution:Universität Potsdam
Publishing institution:Universitätsverlag Potsdam
Release date:2014/09/12
Tag:Diffusionsprozess; Reflektierende Randbedingungen; stochastische Differentialgleichungen
diffusion process; reflecting boundary; stochastic differential equations
Issue:1
Number of pages:ix, 75
RVK - Regensburg classification:SI 990 , SK 820
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
DDC classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
MSC classification:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H10 Stochastic ordinary differential equations [See also 34F05]
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Jxx Markov processes / 60J60 Diffusion processes [See also 58J65]
Publishing method:Universitätsverlag Potsdam
License (German):License LogoCC-BY-SA - Namensnennung, Weitergabe zu gleichen Bedingungen 4.0 International
External remark:
In Printform erschienen im Universitätsverlag Potsdam:

Pilipenko, Andrey :
An introduction to stochastic differential equations with reflection / Andrey Pilipenko. – Potsdam : Universitätsverlag, 2014. – ix, 75 S. graph. Darst.
(Lectures in pure and applied mathematics ; 1)
ISSN (print) 2199-4951
ISSN (online) 2199-496X
ISBN 978-3-86956-297-1
--> bestellen
Accept ✔
This website uses technically necessary session cookies. By continuing to use the website, you agree to this. You can find our privacy policy here.