From Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study
Probability
2020-09-09 v1
Abstract
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is further conducted on the existence of solutions for a few particular kinds of stochastic differential equations with a reflected boundary. It is proved that the multidimensional version of the Skorohod equation can be solved under the assumption of a convex domain (D).
Keywords
Cite
@article{arxiv.2009.03643,
title = {From Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study},
author = {Yunwen Wang and Jinfeng Li},
journal= {arXiv preprint arXiv:2009.03643},
year = {2020}
}
Comments
20 pages