On Skorokhod Problem with Two RCLL Reflecting Completely Separated Barriers

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...

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Bibliographic Details
Published inarXiv.org
Main Authors Belfadli, Rachid, Jarni, Imane, Youssef Ouknine
Format Paper
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 25.04.2019
Subjects
Barriers
Differential equations
Uniqueness
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Summary: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).
ISSN:2331-8422