On stability and existence of solutions of SDEs with reflection at the boundary (Q1275931): Difference between revisions

Let \(D\subseteq \mathbb R^{d}\) be a domain that is either convex or satisfies the conditions (A), (B) introduced by \textit{P. L. Lions} and \textit{A. S. Sznitman} [Commun. Pure Appl. Math. 37, 511-537 (1984; Zbl 0598.60060)]. Let us consider a sequence \[ X^{n}_{t} = x_0 +\int ^{t}_{0}b_{n}(s,X^{n}_{s})ds + \int ^{t}_{0}\sigma _{n}(s,X^{n}_{s})dW^{n}_{s} + K^{n}_{t}, \quad t\geq 0, \] of stochastic differential equations on \(D\) with reflecting boundary condition, where \(W^{n}\) denote standard \(d\)-dimensional Wiener processes, \(x_0\in \overline D\), the processes \(X^{n}\) are required to be \(\overline D\)-valued and \(K^{n}\) are processes of bounded variation such that the variation \(| K^{n}| \) grows only if \(X^{n}_{t} \in \partial D\). The coefficients are supposed to be measurable (not necessarily continuous) functions on \(\mathbb R_{+}\times \overline D\); diffusion matrices are allowed to degenerate on some subsets of \(\overline D\). The authors find conditions on \(\sigma _{n}\)'s and \(b_{n}\)'s implying weak convergence of the processes \(X^{n}\) to a solution of the limit equation. As a consequence of stability theorems they obtain results on the existence of (weak) solutions.