Stochastic differential equations with jump reflection at time-dependent barriers

We study existence, uniqueness and approximation of solutions of stochastic differential equations with jump reflection at time-dependent barriers. The basic idea in proofs consists in applying new existence and stability theorems on deterministic one-dimensional Skorokhod problem. Our results are new even in the classical case of one reflecting barrier.

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Year of publication:	2010
Authors:	Slominski, Leszek ; Wojciechowski, Tomasz
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 9, p. 1701-1721
Publisher:	Elsevier
Keywords:	Skorokhod problem Reflecting stochastic differential equations Time-dependent reflecting barriers

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874867