On reflection with two-sided jumps
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Publication:2664523
The authors study a Skorokhod problem with jumps, reflected in the half line \(\mathbb R_+\) and associated to a right limited and left limited function. Existence and uniqueness of solutions is discussed. The findings are applied to reflected stochastic differential equations driven by optional semimartingales.
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Cited in
(9)- On the Skorokhod mapping for equations with reflection and possible jump-like exit from a boundary
- On reflected stochastic differential equations driven by regulated semimartingales
- On the variation of the difference of singular components in the skorokhod problem and on stochastic differential systems in a half-space
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- Skew-unfolding the Skorokhod reflection of a continuous semimartingale
- The Skorokhod problem with two nonlinear constraints
- SDEs with two reflecting barriers driven by optional processes with regulated trajectories
- Stochastic differential equations with respect to optional semimartingales and two reflecting regulated barriers
- Criteria for what makes a local optional martingale a true martingale
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