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
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
Journal title :
Stochastic Processes and their Applications