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Stochastics and Stochastic Reports Volume 75, 2003 - Issue 5
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Original Articles

Penalization methods for reflecting stochastic differential equations with jumps

Weronika Łaukajtys
&
Leszek Słomiński
Pages 275-293 | Received 31 May 2002, Accepted 29 Apr 2003, Published online: 21 Aug 2006

Citations (20)

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Read on this site (2)

Cameron Bruggeman & Andrey Sarantsev. (2017) Penalty method for reflected diffusions on the half-line. Stochastics 89:2, pages 485-509.
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Kaj Nyström & Thomas Önskog. (2015) Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains. Stochastics 87:5, pages 747-765.
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Articles from other publishers (18)

Mohammed Elhachemy & Mohamed El Otmani. (2023) REFLECTED GENERALIZED BSDE WITH JUMPS UNDER STOCHASTIC CONDITIONS AND AN OBSTACLE PROBLEM FOR INTEGRAL-PARTIAL DIFFERENTIAL EQUATIONS WITH NONLINEAR NEUMANN BOUNDARY CONDITIONS. Journal of Integral Equations and Applications 35:3.
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Mohammed Elhachemy & Mohamed El Otmani. (2022) Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions. Modern Stochastics: Theory and Applications, pages 77-110.
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Lea Popovic & Giovanni Zoroddu. (2022) Large Deviations for Additive Functionals of Reflected Jump-Diffusions. SIAM Journal on Applied Mathematics 82:6, pages 2008-2035.
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Khaled Bahlali, Brahim Boufoussi & Soufiane Mouchtabih. (2021) Penalization for a PDE with a nonlinear Neumann boundary condition and measurable coefficients. Stochastics and Dynamics 22:01.
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Khaled Bahlali, Brahim Boufoussi & Soufiane Mouchtabih. (2022) Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition. Electronic Journal of Probability 27:none.
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Andrew L. Allan, Chong Liu & David J. Prömel. (2021) Càdlàg rough differential equations with reflecting barriers. Stochastic Processes and their Applications 142, pages 79-104.
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Andrey Sarantsev. (2021) Penalty method for obliquely reflected diffusions. Lithuanian Mathematical Journal 61:4, pages 518-549.
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Chen WangSaisai Yang & Tusheng Zhang. (2021) Reflected Brownian motion with singular drift. Bernoulli 27:2.
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Junxia Duan & Jun Peng. (2019) White noise driven SPDEs with oblique reflection: Existence and uniqueness. Journal of Mathematical Analysis and Applications 480:1, pages 123356.
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Adam Jakubowski. (2018) New characterizations of the $S$ topology on the Skorokhod space. Electronic Communications in Probability 23:none.
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Lucian Maticiuc, Aurel Răşcanu & Leszek Słomiński. (2017) Multivalued monotone stochastic differential equations with jumps. Stochastics and Dynamics 17:03, pages 1750018.
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Lucian Maticiuc, Aurel Răşcanu, Leszek Słomiński & Mateusz Topolewski. (2015) Càdlàg Skorokhod problem driven by a maximal monotone operator. Journal of Mathematical Analysis and Applications 429:2, pages 1305-1346.
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Adrian Zălinescu. (2014) Stochastic variational inequalities with jumps. Stochastic Processes and their Applications 124:1, pages 785-811.
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Weronika Łaukajtys & Leszek Słomiński. (2013) Penalization methods for the Skorokhod problem and reflecting SDEs with jumps. Bernoulli 19:5A.
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Leszek Słomiński. (2013) Weak and strong approximations of reflected diffusions via penalization methods. Stochastic Processes and their Applications 123:3, pages 752-763.
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Khaled BahlaliLucian Maticiuc & Adrian Zalinescu. (2013) Penalization method for a nonlinear Neumann PDE via weak solutions of reflected SDEs. Electronic Journal of Probability 18:none.
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Yong Ren & Mohamed El Otmani. (2010) Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition. Journal of Computational and Applied Mathematics 233:8, pages 2027-2043.
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Deng Ding & Ying Ying Zhang. (2008) A splitting-step algorithm for reflected stochastic differential equations in . Computers & Mathematics with Applications 55:11, pages 2413-2425.
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