The martingale problem with sticky reflection conditions, and a system of particles interacting at the boundary

Carl Graham

Annales de l'I.H.P. Probabilités et statistiques (1988)

  • Volume: 24, Issue: 1, page 45-72
  • ISSN: 0246-0203

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Graham, Carl. "The martingale problem with sticky reflection conditions, and a system of particles interacting at the boundary." Annales de l'I.H.P. Probabilités et statistiques 24.1 (1988): 45-72. <http://eudml.org/doc/77318>.

@article{Graham1988,
author = {Graham, Carl},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {martingale problems; Wentzell's boundary conditions; completely degenerated generators; Time change; weak compactness},
language = {eng},
number = {1},
pages = {45-72},
publisher = {Gauthier-Villars},
title = {The martingale problem with sticky reflection conditions, and a system of particles interacting at the boundary},
url = {http://eudml.org/doc/77318},
volume = {24},
year = {1988},
}

TY - JOUR
AU - Graham, Carl
TI - The martingale problem with sticky reflection conditions, and a system of particles interacting at the boundary
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1988
PB - Gauthier-Villars
VL - 24
IS - 1
SP - 45
EP - 72
LA - eng
KW - martingale problems; Wentzell's boundary conditions; completely degenerated generators; Time change; weak compactness
UR - http://eudml.org/doc/77318
ER -

References

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  1. [1] R.F. Anderson and S. Orey, Small Random Perturbations of Dynamical Systems with Reflecting Boundary, Nagoya Math. J., Vol. 60, 1976, pp. 189-216. Zbl0324.60063MR397893
  2. [2] A. Bensoussan and J.-L. Lions, Contrôle impulsionnel et inéquations quasi-variationnelles, Dunod, Paris, 1982. Zbl0491.93002MR673169
  3. [3] N. El Karoui, Processus de diffusion associé à un operateur elliptique dégénéré et à une condition frontière, Thèse d'État, Paris-VI, 1971. 
  4. [4] C. Graham, Systèmes de particules en interaction dans un domaine à paroi collante et problèmes de martingales avec réflexion, Thèse de Docteur de 3e cycle, Paris-VI, 1985. 
  5. [5] N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes, North Holland, Amsterdam, 1981. Zbl0495.60005MR637061
  6. [6] P.-L. Lions and A.-S. Sznitman, Stochastic Differential Equations with Reflecting Boundary Conditions, Comm. Pure Appl. Math., Vol. 37, 1984, pp. 511-537. Zbl0598.60060MR745330
  7. [7] P.-A. Meyer, Un cours sur l'intégrale stochastique, Sém. de Prob. de Strasbourg-X. Zbl0374.60070
  8. [8] D.W. Stroock and S.R.S. Varadhan, Diffusion Processes with Boundary Conditions, Comm. Pure Appl. Math., Vol. 24, 1971, pp. 147-225. Zbl0227.76131MR277037
  9. [9] A.-S. Sznitman, Non-Linear Reflecting Diffusion Processes, and the Propagation of Chaos and Fluctuations Associed, J.F.A., Vol. 56, 1984, pp. 311-336. Zbl0547.60080MR743844
  10. [10] H. Tanaka, Limit Theorems for Certain Diffusion Processes with Interaction, Taniguchi Symp. S.A., Katata, 1982, pp. 469-488. Zbl0552.60051MR780770
  11. [11] T. Shiga and H. Tanaka, Central Limit Theorem for a System of Markovian Particles with Mean Field Interaction, Preprint. Zbl0607.60095
  12. [12] Temps locaux, Astérisque, Vol. 52/53, 1978, S.M.F. 

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