{"title":"From Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study","authors":"Yunwen Wang, Jinfeng Li","doi":"10.2139/ssrn.3688563","DOIUrl":null,"url":null,"abstract":"This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is further conducted on the existence of solutions for a few particular kinds of stochastic differential equations with a reflected boundary. It is proved that the multidimensional version of the Skorohod equation can be solved under the assumption of a convex domain (D).","PeriodicalId":129812,"journal":{"name":"Financial Engineering eJournal","volume":"37 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Engineering eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3688563","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 4
Abstract
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is further conducted on the existence of solutions for a few particular kinds of stochastic differential equations with a reflected boundary. It is proved that the multidimensional version of the Skorohod equation can be solved under the assumption of a convex domain (D).
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