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On reflected stochastic differential equations driven by regulated semimartingales
Statistics & Probability Letters ( IF 0.8 ) Pub Date : 2020-12-01 , DOI: 10.1016/j.spl.2020.108912
Astrid Hilbert , Imane Jarni , Youssef Ouknine

Abstract We show the existence and uniqueness of the solutions of reflected stochastic differential equations driven by semimartingales with regulated trajectories. The study of these SDEs will be based on a new existence and uniqueness theorem for the deterministic Skorokhod problem when the driving process has only right and left limits.

中文翻译:

关于受调节半鞅驱动的反射随机微分方程

摘要 我们证明了由具有调节轨迹的半鞅驱动的反射随机微分方程解的存在性和唯一性。当驱动过程只有左右极限时,这些 SDE 的研究将基于确定性 Skorokhod 问题的新存在唯一性定理。
更新日期:2020-12-01
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