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Reflected diffusions in a non smooth region and an application to storage theory

 

作者: C. Pallenberg,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1990）
卷期: Volume 8, issue 4  

页码: 431-443

 

ISSN:0736-2994

 

年代: 1990

 

DOI:10.1080/07362999008809217

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

We give a proof for the existence and uniqueness of a strong Markov prockss with continuous sample paths in a region G, which is smooth except for a finite set of points on the boundary by solving the corresponding submartingale problem. An application is given by a three – stage flow system, where the buffers have finite capacities N

 

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