SDEs with two reflecting barriers driven by optional processes with regulated trajectories

被引：0

作者：

Falkowski, Adrian ^{[1
]}

机构：

[1] Nicolaus Copernicus Univ, Fac Math & Comp Sci, Ul Chopina 12-18, PL-87100 Torun, Poland

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2025年 / 179卷

关键词：

Stochastic differential equation; Reflecting barriers; Semimartingale; Optional processes; Regulated function; SEMIMARTINGALES; DECOMPOSITION; EQUATIONS; FLUID;

D O I：

10.1016/j.spa.2024.104509

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the existence, uniqueness, and approximation of solutions of general stochastic differential equations (SDEs) with two time-dependent reflecting barriers driven by optional semimartingales. We do not assume that the probability space has to satisfy the usual conditions. We define and solve an appropriate version of the deterministic Skorokhod problem for regulated functions. Applications to currency option pricing in financial models are given.

引用

页数：15

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