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
Link To Document :
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