Local martingales with two reflecting barriers

DOI10.1239/jap/1450802753zbMath1334.60069OpenAlexW2261620593MaRDI QIDQ2794725

Mats Pihlsgård

Publication date: 11 March 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1450802753

zbMATH Keywords

reflectionBrownian motionsemimartingaleslaw of large numbersSkorokhod problemcentral limit theoremstochastic integrationlocal martingales

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Brownian motion (60J65) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Sample path properties (60G17) Stochastic integrals (60H05)

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