On reflected stochastic differential equations driven by regulated semimartingales

DOI10.1016/J.SPL.2020.108912MaRDI QIDQ2216980zbMATH OpenOpenAlexWikidataFDO

Authors Astrid Hilbert, Imane Jarni, Youssef Ouknine

Publication date 18 December 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2020.108912

zbMATH Keywords

reflected stochastic differential equationsreflectionsemimartingalesSkorokhod problem

Mathematics Subject Classification ID

Sample path properties (60G17) Stochastic integral equations (60H20)

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Cites work

• An explicit formula for the Skorokhod map on \([0,a]\)
• Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition
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• On linear stochastic equations of optional semimartingales and their applications
• OPTIONAL MARTINGALES
• Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
• Reflecting thoughts
• Reflexion discontinue et systèmes stochastiques
• Stochastic differential equations with jump reflection at time-dependent barriers
• The play operator, the truncated variation and the generalisation of the Jordan decomposition

Cited in

(6)

• SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation
• On existence and uniqueness of reflected solutions of stochastic equations driven by symmetric stable processes
• LIMIT OF SOLUTIONS OF A SPDE DRIVEN BY MARTINGALE MEASURE WITH REFLECTION
• SDEs with two reflecting barriers driven by optional processes with regulated trajectories
• A Skorohod measurable universal functional representation of solutions to semimartingale SDEs
• Stochastic differential equations with respect to optional semimartingales and two reflecting regulated barriers

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