| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156887 | Stochastic Processes and their Applications | 2010 | 21 Pages |
Abstract
We study existence, uniqueness and approximation of solutions of stochastic differential equations with jump reflection at time-dependent barriers. The basic idea in proofs consists in applying new existence and stability theorems on deterministic one-dimensional Skorokhod problem. Our results are new even in the classical case of one reflecting barrier.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Leszek Słomiński, Tomasz Wojciechowski,