Work

Stochastic differential equations with respect to optional semimartingales and two reflecting regulated barriers

Year: 2025

Type: article

Abstract: In this work, we introduce a new Skorokhod problem with two reflecting barriers, where the trajectories of the driving process and the barriers are right- and left-limited. We show that this problem has a unique explicit solution. Then, we apply our results to study the existence and uniqueness of solutions to reflected stochastic differential equations driven by optional semimartingales. The study is carried out on a probability space that does not necessarily satisfy the usual conditions.

Source: Stochastics and Dynamics

DOI: 10.1142/s0219493725500169

Authors: Astrid Hilbert, Imane Jarni, Youssef Ouknine

Institutions: Linnaeus University, Université Mohammed VI Polytechnique, Cadi Ayyad University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4410414066

FWCI:

Cites: 19

Cited by: 2

Related to: 10