Work

From Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study

Year: 2020

Type: preprint

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).

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2009.03643

Authors: Wang, Yunwen, Li, Jinfeng

Institutions: University of Warwick, Imperial College London

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3083890924

Cites: 13

Cited by:

Related to: 10