Unfolding the Skorohod reflection of a semimartingale
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Publication:1004276
DOI10.1016/j.spl.2008.09.029zbMath1172.60012OpenAlexW2046595289MaRDI QIDQ1004276
Publication date: 2 March 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2008.09.029
Related Items (8)
Degenerate competing three-particle systems ⋮ Stochastic integral equations for Walsh semimartingales ⋮ On the time inhomogeneous skew Brownian motion ⋮ Diffusions with rank-based characteristics and values in the nonnegative quadrant ⋮ Skew-Unfolding the Skorokhod Reflection of a Continuous Semimartingale ⋮ Filtration shrinkage, the structure of deflators, and failure of market completeness ⋮ Itō's formula for Walsh's Brownian motion and applications ⋮ Hiding a constant drift
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