Title of article
Stochastic differential equations with jump reflection at time-dependent barriers
Author/Authors
Andrzej Slominski، نويسنده , , Leszek and Wojciechowski، نويسنده , , Tomasz، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
21
From page
1701
To page
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 , Time-dependent reflecting barriers , Reflecting stochastic differential equations
Journal title
Stochastic Processes and their Applications
Serial Year
2010
Journal title
Stochastic Processes and their Applications
Record number
1578310
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