• S Ramasubramanian

Articles written in Proceedings – Mathematical Sciences

• Reflected backward stochastic differential equations in an orthant

We consider RBSDE in an orthant with oblique reflection and with time and space dependent coefficients, viz.$$Z(t) = \xi + \int_t^T {b(s, Z(s))} ds + \int_t^T {R(s, Z(s))} dY(s) - \int_t^T {\left\langle {U(s), dB(s)} \right\rangle }$$ with Zi(·)≥0, Yi(·) nondecreasing and Yi(·) increasing only when Zi(·) = 0, 1 ≤i ≤d. Existence of a unique solution is established under Lipschitz continuity ofb, R and a uniform spectral radius condition onR. On the way we also prove a result concerning the variational distance between the ‘pushing parts’ of solutions of auxiliary one-dimensional problem.

• Large Deviations: An Introduction to 2007 Abel Prize

2007 Abel prize has been awarded to S R S Varadhan for creating a unified theory of large deviations. We attempt to give a flavour of this branch of probability theory, highlighting the role of Varadhan.

• # Proceedings – Mathematical Sciences

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Volume 129 | Issue 5
November 2019

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