SDEs with two reflecting barriers driven by optional processes with regulated trajectories

DOI10.1016/j.spa.2024.104509MaRDI QIDQ6658928

Adrian Falkowski

Publication date: 8 January 2025

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

semimartingalesstochastic differential equationsregulated functionreflecting barriersoptional processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

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