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Remarks on the Skorohod Problem and Reflected Levy Driven SDEs in Time-dependent Domains
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Probability Theory.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Probability Theory.
2015 (English)In: Stochastics: An International Journal of Probablitiy and Stochastic Processes, ISSN 1744-2508, E-ISSN 1744-2516, Vol. 87, no 5, 747-765 p.Article in journal (Refereed) Published
Abstract [en]

We consider the Skorohod problem for cadlag functions, and the subsequent construction of solutions to normally reflected stochastic differential equations driven by Levy processes, in the setting of non-smooth and time-dependent domains.

Place, publisher, year, edition, pages
2015. Vol. 87, no 5, 747-765 p.
Keyword [en]
Skorohod problem, oblique reflection, time-dependent domain, stochastic differential equations, integro-differential equation, Lévy process, 60J50, 60J60
National Category
Mathematics
Identifiers
URN: urn:nbn:se:uu:diva-224649DOI: 10.1080/17442508.2014.1000327ISI: 000360395100002OAI: oai:DiVA.org:uu-224649DiVA: diva2:717637
Available from: 2014-05-16 Created: 2014-05-16 Last updated: 2017-12-05Bibliographically approved

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Nyström, KajÖnskog, Thomas

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