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.
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| 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): |  CC-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 |
