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arXiv · 1902.05838

On Skorokhod Problem with Two RCLL Reflecting Completely Separated Barriers

Rachid Belfadli·Imane Jarni·Youssef Ouknine
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Abstract

In this paper we deal with Skorokhod problem for right continuous left limited (rcll) barriers. We prove existence and uniqueness of the solution when the barriers are only supposed to be rcll and completely separated. Then, we apply our results to prove existence and uniqueness of the solution of a reflected stochastic differential equation (SDE).

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Rachid Belfadli, Imane Jarni, Youssef Ouknine. 2019-02-15. On Skorokhod Problem with Two RCLL Reflecting Completely Separated Barriers. https://arxiv.org/abs/1902.05838

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