Year: 2026
Type: preprint
Abstract: Let $B$ be a standard Brownian motion, $x\ge 0,\, ν<1$, and $b:[0,\infty)\to\mathbb R$ is a continuous function locally of finite variation starting from 0. We define the perturbed Brownian motion reflected at the boundary $b$ by establishing strong existence and pathwise uniqueness of a solution to the equation \[ W_t=(1-ν)x+B_t+νM_t(W)+\frac12 L_t^0(W-b), \qquad W_t\ge b(t), \] where $M_t(W):=\sup_{0\le s\le t} W_s$ and the process $L^0(W-b)$ is the semimartingale local time at 0 of the process $W-b$. We give a positive result under condition (PB) on the boundary $b$ : for every $T>0$, the upward increment $\sup_{0\le s
Source: arXiv (Cornell University)
Author: Wang, Chengshi
Institution: Fudan University
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7213604763
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