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.
An introduction to stochastic differential equations with reflection
ISBN: 978-3-86956-297-1
84 pages
Release year 2014
Series: Lectures in pure and applied mathematics , 1
8,00 €
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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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2020Proceedings of the XI international conference Stochastic and Analytic Methods in Mathematical Physics
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2015Microsaccades
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2018Relatively free doppelsemigroups
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2017Stochastic processes with applications in the natural sciences
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