On Skorokhod Problem with Two RCLL Reflecting Completely Separated Barriers
Probability
2019-04-26 v2
Abstract
In this paper we deal with Skorokhod problem for right continuous left limited (rcll) barriers. We prove existence and uniqueness of the solution when the barriers are only supposed to be rcll and completely separated. Then, we apply our results to prove existence and uniqueness of the solution of a reflected stochastic differential equation (SDE).
Cite
@article{arxiv.1902.05838,
title = {On Skorokhod Problem with Two RCLL Reflecting Completely Separated Barriers},
author = {Rachid Belfadli and Imane Jarni and Youssef Ouknine},
journal= {arXiv preprint arXiv:1902.05838},
year = {2019}
}
Comments
15 pages