具有两个反映障碍的 SDE，由具有调节轨迹的可选过程驱动

IF 1.1 2区数学 Q3 STATISTICS & PROBABILITY

Stochastic Processes and their Applications Pub Date : 2024-10-19 DOI:10.1016/j.spa.2024.104509

Adrian Falkowski

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引用次数: 0

摘要

我们研究一般随机微分方程（SDE）的解的存在性、唯一性和近似性，该方程有两个由可选半马勒驱动的随时间变化的反射屏障。我们不假设概率空间必须满足常规条件。我们为调节函数定义并求解了确定性斯科罗霍德问题的适当版本。我们还给出了金融模型中货币期权定价的应用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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SDEs with two reflecting barriers driven by optional processes with regulated trajectories

We study the existence, uniqueness, and approximation of solutions of general stochastic differential equations (SDEs) with two time-dependent reflecting barriers driven by optional semimartingales. We do not assume that the probability space has to satisfy the usual conditions. We define and solve an appropriate version of the deterministic Skorokhod problem for regulated functions. Applications to currency option pricing in financial models are given.

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来源期刊

Stochastic Processes and their Applications 数学-统计学与概率论

CiteScore

2.90

自引率

7.10%

发文量

180

审稿时长

23.6 weeks

期刊介绍： Stochastic Processes and their Applications publishes papers on the theory and applications of stochastic processes. It is concerned with concepts and techniques, and is oriented towards a broad spectrum of mathematical, scientific and engineering interests. Characterization, structural properties, inference and control of stochastic processes are covered. The journal is exacting and scholarly in its standards. Every effort is made to promote innovation, vitality, and communication between disciplines. All papers are refereed.