On reflected stochastic differential equations driven by regulated semimartingales

Astrid Hilbert, Imane Jarni and Youssef Ouknine

Statistics & Probability Letters, 2020, vol. 167, issue C

Abstract: We show the existence and uniqueness of the solutions of reflected stochastic differential equations driven by semimartingales with regulated trajectories. The study of these SDEs will be based on a new existence and uniqueness theorem for the deterministic Skorokhod problem when the driving process has only right and left limits.

Keywords: Reflection; Skorokhod problem; Semimartingales; Reflected stochastic differential equations (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108912

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