Download This PaperFrom Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study
20 Pages Posted: 27 Oct 2020
Date Written: September 7, 2020
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).
Keywords: stochastic process, reflecting Brownian motion, Skorohod problem, stochastic differential equation
Suggested Citation: Suggested Citation
Wang, Yunwen and LI, Jinfeng, From Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study (September 7, 2020). Available at SSRN: https://ssrn.com/abstract=3688563 or http://dx.doi.org/10.2139/ssrn.3688563
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