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SDEs with two reflecting barriers driven by semimartingales and processes with bounded p-variation

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  • Falkowski, Adrian
  • Słomiński, Leszek

Abstract

We study the existence, uniqueness and approximation of solutions of general stochastic differential equations (SDEs) with two time-dependent reflecting barriers driven by semimartingales and processes with bounded p-variation, p∈[1,2). We do not assume that the barriers have to be completely separated. Applications to currency option pricing in financial models with fractional Brownian motion and standard Brownian motion are given.

Suggested Citation

  • Falkowski, Adrian & Słomiński, Leszek, 2022. "SDEs with two reflecting barriers driven by semimartingales and processes with bounded p-variation," Stochastic Processes and their Applications, Elsevier, vol. 146(C), pages 164-186.
    • Handle: RePEc:eee:spapps:v:146:y:2022:i:c:p:164-186
    DOI: 10.1016/j.spa.2022.01.004
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    References listed on IDEAS

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    Cited by:

    1. Gassiat, Paul & Mądry, Łukasz, 2023. "Perturbations of singular fractional SDEs," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 137-172.

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