On Reflection with Two-Sided Jumps

被引：2

作者：

Jarni, Imane ^{[1
]}

Ouknine, Youssef ^{[1
,2
]}

机构：

[1] Cadi Ayyad Univ, Fac Sci Semlalia, Math Dept, Blvd Prince Moulay Abdellah,POB 2390, Marrakech 40000, Morocco

[2] Mohammed VI Polytech Univ, Africa Business Sch, Lot 660, Ben Guerir 43150, Morocco

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2021年 / 34卷 / 04期

关键词：

Skorokhod problem; Reflection; Optional semimartingales; Reflecting stochastic differential equations; STOCHASTIC DIFFERENTIAL-EQUATIONS; BSDES;

D O I：

10.1007/s10959-020-01024-x

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：

In the first part of this paper, we pose and solve a new version of Skorokhod problem with jumps, reflected in the half line R+ and associated to a right limited and left limited function. We show the existence and uniqueness of the solution for this problem. Then, we apply our result to prove existence and uniqueness of solutions of reflected stochastic differential equations driven by optional semimartingales on an unusual probability space.

引用

页码：1811 / 1830

页数：20

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