Rachid Belfadli, Imane Jarni, Youssef Ouknine
Published 2019-02-15Version 1
In this paper we deal with Skorokhod problem for right continuous left limits (rcll) barriers. We prove the existence and uniqueness of the solution when the barriers are only supposed to be rcll and completely separated. Then, we apply our result to prove the existence and uniqueness of the solution of a reflected stochastic differential equation (SDE).
The Skorokhod problem in a time-dependent interval
The Skorokhod problem with two nonlinear constraints
Reflected BSDEs with general filtration and two completely separated barriers
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