Yunwen Wang

Department of Statistics, University of Warwick

Department of Statistics,

University of Warwick

Coventry, West Midlands CV4 7AL

United Kingdom

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From Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study

Number of pages: 20 Posted: 27 Oct 2020
Yunwen Wang and Jinfeng LI
Department of Statistics, University of Warwick and Department of Electrical and Electronic Engineering, Imperial College London
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Abstract:

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stochastic process, reflecting Brownian motion, Skorohod problem, stochastic differential equation