On representations of solutions of 1–dimensional stochastic differential equations with reflecting boundary conditions
作者:
Jai Heui Kim,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1987)
卷期:
Volume 5,
issue 2
页码: 167-188
ISSN:0736-2994
年代: 1987
DOI:10.1080/07362998708809112
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
In this paper we give representations of the solution of 1–dimensional stochastic differential equation (SDE for short) with reflecting barrieres. To this we construct the solution of deterministic Skorohod equation with two reflecting boundaries and show which can be expressed by the operator “sup inf”. Then the solution of given SDE can be represented by a form that depend on a reflecting Brownian motion determined by solving the deterministic Skorohod eqyation
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