SDEs with two reflecting barriers driven by semimartingales and processes with bounded p-variation

被引：3
|
作者：
Falkowski, Adrian [1 ]
Slominski, Leszek [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 | 2022年 / 146卷
关键词：
Stochastic differential equation; Reflecting barriers; Semimartingale; p-variation; Fractional Brownian motion; STOCHASTIC DIFFERENTIAL-EQUATIONS; FRACTIONAL BROWNIAN-MOTION; CONSTRAINTS DRIVEN; UNIQUENESS; EXISTENCE; WEAK; CONVERGENCE; FLUID;
D O I：
10.1016/j.spa.2022.01.004
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 semimartingales and processes with bounded p-variation, p is an element of [1, 2). We do not assume that the barriers have to be completely separated. Applications to currency option pricing in financial models with fractional Brownian motion and standard Brownian motion are given.(c) 2022 Elsevier B.V. All rights reserved.
引用
收藏
页码：164 / 186
页数：23
相关论文
共 50 条
12345