From reflecting Brownian motion to reflected stochastic differential equations: a systematic survey and complementary study
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Working paper
OA Location
Author(s)
Yunwen, Wang
Li, Jinfeng
Type
Working Paper
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).
Date Issued
2020-09-08
Citation
2020
Publisher
arXiv
Copyright Statement
© 2020 The Author(s)
Identifier
https://arxiv.org/abs/2009.03643
Subjects
stochastic process
reflecting Brownian motion
Skorohod problem
stochastic differential equation
Notes
arXiv:2009.03643
Publication Status
Published