On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary (Q1318336): Difference between revisions
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English | On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary |
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On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary (English)
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20 September 1994
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One-dimensional stochastic differential equations with reflecting boundary condition are investigated. The existence and uniqueness of strong solutions are proved under the assumptions of non-degenerate smooth diffusion coefficient and measurable drift coefficient. Wong-Zakai type approximation of the solution is also derived. The existence proof is based on a known result in the case of (locally) Lipschitz drift and constant non-degenerate diffusion. It extends to the general case by approximations, use of a comparison theorem and change of variables. The (strong) uniqueness result deals with the local time and a known result on uniqueness in law.
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stochastic differential equations
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reflecting boundary condition
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Wong- Zakai type approximation
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comparison theorem
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uniqueness in law
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