首页   按字顺浏览 期刊浏览 卷期浏览 Stochastic differential equations with jump reflection at the boundary†
Stochastic differential equations with jump reflection at the boundary†

 

作者: Protter Philip,  

 

期刊: Stochastics  （Taylor Available online 1980）
卷期: Volume 3, issue 1-4  

页码: 193-201

 

ISSN:0090-9491

 

年代: 1980

 

DOI:10.1080/17442508008833144

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A unique solution is shown to exist of a stochastic differential equation where the solution is subject to random kicks whenever it reaches or crosses a pre-selected boundary. The driving terms are arbitrary semimartingales, and the solutions are shown not to have explosions, even with essentially no restrictions on the stochastic kicking process.

 

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