Webbläsaren som du använder stöds inte av denna webbplats. Alla versioner av Internet Explorer stöds inte längre, av oss eller Microsoft (läs mer här: * https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Var god och använd en modern webbläsare för att ta del av denna webbplats, som t.ex. nyaste versioner av Edge, Chrome, Firefox eller Safari osv.

On the Dynamics of Semimartingales with Two Reflecting Barriers

In English

Författare

Summary, in English

We consider a semimartingale X which is reflected at an upper barrier T and a lower barrier S, where S and T are also semimartingales such that T is bounded away from S. First, we present an explicit construction of the reflected process. Then we derive a relationship in terms of stochastic integrals linking the reflected process and the local times at the respective bathers to X, S, and T. This result reveals the fundamental structural properties of the reflection mechanism. We also present a few results showing how the general relationship simplifies under additional assumptions on X, S, and T, e.g. if we take X, S, and T to be independent martingales (which satisfy some extra technical conditions).

Avdelning/ar

Publiceringsår

2013

Språk

Engelska

Sidor

671-685

Publikation/Tidskrift/Serie

Journal of Applied Probability

Volym

50

Issue

3

Dokumenttyp

Artikel i tidskrift

Förlag

Applied Probability Trust

Ämne

  • Probability Theory and Statistics

Nyckelord

  • Skorokhod problem
  • reflection
  • semimartingale
  • Levy process
  • martingale
  • stochastic integration

Status

Published

Forskningsgrupp

  • Geriatrics
  • Geriatric Medicine

ISBN/ISSN/Övrigt

  • ISSN: 1475-6072