On the Dynamics of Semimartingales with Two Reflecting Barriers
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Publication:2854074
DOI10.1239/jap/1378401229zbMath1282.60047OpenAlexW2054092664MaRDI QIDQ2854074
Mats Pihlsgård, Peter W. Glynn
Publication date: 17 October 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1378401229
Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Sample path properties (60G17) Stochastic integrals (60H05)
Related Items (3)
Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps ⋮ Local martingales with two reflecting barriers ⋮ Lévy Processes with Two-Sided Reflection
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