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Local martingales with two reflecting barriers

In English

Författare

Summary, in English

We give an account of the characteristics that result from reflecting a drifting local martingale (i.e. the sum of a local martingale and a multiple of its quadratic variation process) in 0 and b > 0. We present conditions which guarantee the existence of finite moments of what is required to keep the reflected process within its boundaries. Also, we derive an associated law of large numbers and a central limit theorem which apply when the input is continuous. Similar results for integrals of the paths of the reflected process are also presented. These results are in close agreement to what has previously been shown for Brownian motion.

Avdelning/ar

Publiceringsår

2015

Språk

Engelska

Sidor

1062-1075

Publikation/Tidskrift/Serie

Journal of Applied Probability

Volym

52

Issue

4

Dokumenttyp

Artikel i tidskrift

Förlag

Applied Probability Trust

Ämne

  • Probability Theory and Statistics

Nyckelord

  • Skorokhod problem
  • reflection
  • stochastic integration
  • Brownian motion
  • local martingale
  • semimartingale

Status

Published

Forskningsgrupp

  • Geriatrics
  • Geriatric Medicine

ISBN/ISSN/Övrigt

  • ISSN: 1475-6072