Stochastic differential equations with jump reflection at time-dependent barriers

Leszek Slominski and Tomasz Wojciechowski

Stochastic Processes and their Applications, 2010, vol. 120, issue 9, 1701-1721

Abstract: 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.

Keywords: Skorokhod; problem; Reflecting; stochastic; differential; equations; Time-dependent; reflecting; barriers (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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