Stochastic differential equations with respect to optional semimartingales and two reflecting regulated barriers
From MaRDI portal
Publication:6392176
arXiv2202.12862MaRDI QIDQ6392176FDOQ6392176
Authors: Astrid Hilbert, Imane Jarni, Youssef Ouknine 
Publication date: 25 February 2022
Abstract: In this work, we introduce a new Skorokhod problem with two reflecting barriers when the trajectories of the driven process and the barriers are right and left limited. We show that this problem has an explicit unique solution in a deterministic case. Then, we apply our result to study the existence and uniqueness of solutions of reflected stochastic differential equations with respect to optional semimartingales. The study is carried out on a probability space that does not necessarily satisfy the usual conditions.
This page was built for publication: Stochastic differential equations with respect to optional semimartingales and two reflecting regulated barriers
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6392176)
