On the dynamics of semimartingales with two reflecting barriers

DOI10.1239/JAP/1378401229zbMATH Open1282.60047OpenAlexW2054092664MaRDI QIDQ2854074FDOQ2854074

Authors: 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

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zbMATH Keywords

martingalesemimartingalereflectionstochastic integrationSkorokhod problemLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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Cited In (5)

• Unfolding the Skorohod reflection of a semimartingale
• Local martingales with two reflecting barriers
• Lévy processes with two-sided reflection
• Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps
• On the semi-Markovian random walk with two reflecting barriers

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