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Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains |
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| Abstract: | We consider the Skorohod problem for càdlàg functions, and the subsequent construction of solutions to normally reflected stochastic differential equations driven by Lévy processes, in the setting of non-smooth and time-dependent domains. |
| Keywords: | Skorohod problem oblique reflection time-dependent domain stochastic differential equations integro-differential equation Lévy process |