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The Skorokhod problem in a time-dependent interval

Citations

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Cited by:

  1. Dammann, Felix & Rodosthenous, Néofytos & Villeneuve, Stéphane, 2024. "A Stochastic Non-Zero-Sum Game of Controlling the Debt-to-GDP Ratio," TSE Working Papers 24-1481, Toulouse School of Economics (TSE).
  2. Rami Atar & Haya Kaspi & Nahum Shimkin, 2014. "Fluid Limits for Many-Server Systems with Reneging Under a Priority Policy," Mathematics of Operations Research, INFORMS, vol. 39(3), pages 672-696, August.
  3. Rami Atar & Anup Biswas & Haya Kaspi, 2015. "Fluid Limits of G / G /1+ G Queues Under the Nonpreemptive Earliest-Deadline-First Discipline," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 683-702, March.
  4. Falkowski, Adrian & Słomiński, Leszek, 2022. "SDEs with two reflecting barriers driven by semimartingales and processes with bounded p-variation," Stochastic Processes and their Applications, Elsevier, vol. 146(C), pages 164-186.
  5. Falkowski, Adrian & Słomiński, Leszek, 2021. "Mean reflected stochastic differential equations with two constraints," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 172-196.
  6. Dianetti, Jodi & Ferrari, Giorgio, 2021. "Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls," Center for Mathematical Economics Working Papers 645, Center for Mathematical Economics, Bielefeld University.
  7. De Angelis, Tiziano & Ferrari, Giorgio, 2014. "A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4080-4119.
  8. Bovo, Andrea & De Angelis, Tiziano, 2025. "On the saddle point of a zero-sum stopper vs. singular-controller game," Stochastic Processes and their Applications, Elsevier, vol. 182(C).
  9. de Angelis, Tiziano & Ferrari, Giorgio, 2014. "A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis," Center for Mathematical Economics Working Papers 477, Center for Mathematical Economics, Bielefeld University.
  10. Dianetti, Jodi & Ferrari, Giorgio & Tzouanas, Ioannis, 2023. "Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version)," Center for Mathematical Economics Working Papers 681, Center for Mathematical Economics, Bielefeld University.
  11. Li, Hanwu, 2024. "Backward stochastic differential equations with double mean reflections," Stochastic Processes and their Applications, Elsevier, vol. 173(C).
  12. Atar, Rami & Biswas, Anup & Kaspi, Haya, 2018. "Law of large numbers for the many-server earliest-deadline-first queue," Stochastic Processes and their Applications, Elsevier, vol. 128(7), pages 2270-2296.
  13. Xin Guo & Wenpin Tang & Renyuan Xu, 2018. "A class of stochastic games and moving free boundary problems," Papers 1809.03459, arXiv.org, revised Oct 2021.
  14. Falkowski, Adrian & Słomiński, Leszek, 2017. "SDEs with constraints driven by semimartingales and processes with bounded p-variation," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3536-3557.
  15. Allan, Andrew L. & Liu, Chong & Prömel, David J., 2021. "Càdlàg rough differential equations with reflecting barriers," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 79-104.
  16. Dianetti, Jodi & Ferrari, Giorgio, 2023. "Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 547-592.
  17. Slominski, Leszek & Wojciechowski, Tomasz, 2010. "Stochastic differential equations with jump reflection at time-dependent barriers," Stochastic Processes and their Applications, Elsevier, vol. 120(9), pages 1701-1721, August.
  18. Maxim Bichuch, 2014. "Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment," Finance and Stochastics, Springer, vol. 18(3), pages 651-694, July.
  19. Weerasinghe, Ananda & Zhu, Chao, 2016. "Optimal inventory control with path-dependent cost criteria," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1585-1621.
  20. Falkowski, Adrian, 2025. "SDEs with two reflecting barriers driven by optional processes with regulated trajectories," Stochastic Processes and their Applications, Elsevier, vol. 179(C).
  21. Ferrari, Giorgio & Rodosthenous, Neofytos, 2018. "Optimal Management of Debt-To-GDP Ratio with Regime-Switching Interest Rate," Center for Mathematical Economics Working Papers 589, Center for Mathematical Economics, Bielefeld University.
  22. Maxim Bichuch, 2011. "Pricing a Contingent Claim Liability with Transaction Costs Using Asymptotic Analysis for Optimal Investment," Papers 1112.3012, arXiv.org.
  23. Hong Zhang & Saviour Worlanyo Akuamoah & Wilson Osafo Apeanti & Prince Harvim & David Yaro & Paul Georgescu, 2021. "The Stability Analysis of a Double-X Queuing Network Occurring in the Banking Sector," Mathematics, MDPI, vol. 9(16), pages 1-21, August.
  24. Lundström, Niklas L.P. & Önskog, Thomas, 2019. "Stochastic and partial differential equations on non-smooth time-dependent domains," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1097-1131.
  25. Lee, Chihoon & Weerasinghe, Ananda, 2011. "Convergence of a queueing system in heavy traffic with general patience-time distributions," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2507-2552, November.
  26. Felix Dammann & Néofytos Rodosthenous & Stéphane Villeneuve, 2024. "A stochastic non-zero-sum game of controlling the debt-to-GDP ratio," Post-Print hal-04810508, HAL.
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