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On reflected stochastic differential equations driven by regulated semimartingales
Linnaeus University, Faculty of Technology, Department of Mathematics.ORCID iD: 0000-0002-5362-6475
Cadi Ayyad Univ, Morocco.
Cadi Ayyad Univ, Morocco;Mohammed VI Polytech Univ, Morocco.
2020 (English)In: Statistics and Probability Letters, ISSN 0167-7152, E-ISSN 1879-2103, Vol. 167, p. 1-7, article id 108912Article in journal (Refereed) Published
Abstract [en]

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. (C) 2020 Elsevier B.V. All rights reserved.
Place, publisher, year, edition, pages
Elsevier, 2020. Vol. 167, p. 1-7, article id 108912
Keywords [en]
Reflection, Skorokhod problem, Semimartingales, Reflected stochastic differential equations
National Category
Mathematics
Research subject
Natural Science, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-98618DOI: 10.1016/j.spl.2020.108912ISI: 000574903700016Scopus ID: 2-s2.0-85090144067OAI: oai:DiVA.org:lnu-98618DiVA, id: diva2:1478943
Available from: 2020-10-23 Created: 2020-10-23 Last updated: 2021-05-06Bibliographically approved

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Hilbert, Astrid

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