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Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains
2015 (English)In: Stochastics: An International Journal of Probablitiy and Stochastic Processes, ISSN 1744-2508, E-ISSN 1744-2516, Vol. 87, no 5, p. 747-765Article 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
Taylor & Francis, 2015. Vol. 87, no 5, p. 747-765
Keywords [en]
Skorohod problem; oblique reflection; time-dependent domain; stochastic differential equations; integro-differential equation; Levy process; 60J50; 60J60
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-203796DOI: 10.1080/17442508.2014.1000327ISI: 000360395100002Scopus ID: 2-s2.0-8494044076OAI: oai:DiVA.org:kth-203796DiVA, id: diva2:1082589
Note

QC 20170405

Available from: 2017-03-17 Created: 2017-03-17 Last updated: 2017-11-29Bibliographically approved

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Önskog, Thomas
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