TY  - BOOK
A1  - Pilipenko, Andrey
T1  - An introduction to stochastic differential equations with reflection
T2  - Lectures in pure and applied mathematics
N2  - 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.
T3  - Lectures in pure and applied mathematics - 1 
KW  - Diffusionsprozess
KW  - Reflektierende Randbedingungen
KW  - stochastische Differentialgleichungen
KW  - diffusion process
KW  - reflecting boundary
KW  - stochastic differential equations
Y1  - 2014
UR  - https://publishup.uni-potsdam.de/frontdoor/index/index/docId/6949
UR  - https://nbn-resolving.org/urn:nbn:de:kobv:517-opus-70782
SN  - 978-3-86956-297-1
SN  - 2199-4951
SN  - 2199-496X
IS  - 1
PB  - Universitätsverlag Potsdam
CY  - Potsdam
ER  -