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SDEs with two reflecting barriers driven by semimartingales and processes with bounded [formula omitted]-variation.
- Source :
-
Stochastic Processes & Their Applications . Apr2022, Vol. 146, p164-186. 23p. - Publication Year :
- 2022
-
Abstract
- We study the existence, uniqueness and approximation of solutions of general stochastic differential equations (SDEs) with two time-dependent reflecting barriers driven by semimartingales and processes with bounded p -variation, p ∈ [ 1 , 2). We do not assume that the barriers have to be completely separated. Applications to currency option pricing in financial models with fractional Brownian motion and standard Brownian motion are given. [ABSTRACT FROM AUTHOR]
- Subjects :
- *WIENER processes
*STOCHASTIC differential equations
*BROWNIAN motion
Subjects
Details
- Language :
- English
- ISSN :
- 03044149
- Volume :
- 146
- Database :
- Academic Search Index
- Journal :
- Stochastic Processes & Their Applications
- Publication Type :
- Academic Journal
- Accession number :
- 155557026
- Full Text :
- https://doi.org/10.1016/j.spa.2022.01.004