An existence theorem for weak solutions of stochastic differential equations with discontinuous right-hand sides and with reflection at the boundary (Q1778172)

Let \[ x(t)= x_0+ \int^t_0 f(\tau, x(\tau))\,d\tau+ \int^t_0 g(\tau, x(\tau))\,dW(\tau)+ K(t)\tag{1} \] be a stochastic differential equation in a domain \(D\) with reflection at the boundary, where \(x_0\in\overline D\), \(x(t)\) is the reflecting process on \(\overline D\), \(K\) is a bounded variation process with variation \(|K|\) increasing, only when \(x(t)\in\partial D\), \(W\) is a Brownian motion process, and \(f: \mathbb{R}_+\times\mathbb{R}^d\to\mathbb{R}^d\) and \(g: \mathbb{R}_+\times\mathbb{R}^d\to\mathbb{R}^{d\times d}\) are measurable bounded functions. For each \((t,x)\in\mathbb{R}_+\times\mathbb{R}^d\) the sets \(F(t, x)\) and \(A(t, x)\) are the least convex closed sets containing all limit points of \(f(t, x')\) and \(a(t,x')= g(t,x')g^*(t, x')\) as \(x'\to x\). The sets \(H\), \(H^c\), \(G(t,x)\), \(F_0(t, x)\), \(G_0(t, x)\), \(A_0(t,x)\) are defined by \[ \begin{multlined} H= \biggl\{(t, x)\in\mathbb{R}_+\times \mathbb{R}^d: \int_{U(t,x)}(\text{det\,}a(\tau, y))^{-1}d\tau\,dy= \infty\\ \text{ for each open neighborhood }U(t,x)\text{ of }(t, x) \biggr\}\end{multlined} \] \[ H^c= (\mathbb{R}_+\times \mathbb{R}^d)\setminus H,\quad G(t,x)= \{b^{1/2}(t, x): b(t,x)\in A(t,x)\}, \] \[ \begin{aligned} F_0(t,x) &= \begin{cases} f(t,x)\quad &\text{for }(t,x)\in H^c,\\ F(t,x)\quad &\text{for }(t,x)\in H,\end{cases}\\ G_0(t,x) &= \begin{cases} g(t,x)\quad &\text{for }(t,x)\in H^c,\\ G(t,x)\quad &\text{for }(t,x)\in H,\end{cases}\\ A_0(t,x) &= \begin{cases} a(t,x)\quad &\text{for }(t,x)\in H^c,\\ A(t,x)\quad &\text{for }(t,x)\in H.\end{cases}\end{aligned} \] If \(D\) is a domain in \(\mathbb{R}^d\), then \(N_x= \bigcup_{r> 0} N_{x,r}\) and \(N_{x,\infty}= \bigcap_{r> 0} N_{x,r}\), where \[ N_{x,r}= \{n\in\mathbb{R}^d: \| n\|= 1,\,B(x- rn,r)\cap D= \emptyset\}. \] A weak solution of (1) in the domain \(D\) with reflection at the boundary is a \(d\)-dimensional continuous random process \(x(t)\), \(t\in\mathbb{R}_+\), defined on the probability space \((\Omega,{\mathcal J},P)\) with a flow \({\mathcal J}_t\) of \(\sigma\)-algebras such that \(x(t)\) is \({\mathcal J}_1\)-compatible, \(x(t)\in\overline D\) for each \(t\in\mathbb{R}_+\) almost surely, and the following assertions are valid: (1) there exists an \(({\mathcal J}_t)\)-Brownian motion \(W(t)\) for which \(W(0)= 0\) almost surely; (2) there exist measurable \(({\mathcal J}_t)\)-compatible processes \(v\) and \(u\) such that \(v(t, x)\in F_0(t,x(t,\omega))\) and \(u(t, x)\in G_0(t, x(t,\omega))\) for \((\mu\times P)\)-almost all \((t,\omega)\in\mathbb{R}_+\times\Omega\); (3) there exists a continuous \(({\mathcal J}_t)\)-compatible process \(K(t)\), \(t\in\mathbb{R}_+\), \(K(0)= 0\), that almost surely has a locally bounded variation and satisfies the conditions \(K(t)= \int^t_0 n(\tau)\,d|K|_\tau\), \(|K|_\tau= \int^t_0 1_{\partial D}(x(\tau))\,d|K|_\tau\), where \(n(\tau)\in N_{x(\tau)}\) whenever \(x(\tau)\in \partial D\); (4) \(x(t)= x_0+ \int^t_0 v(\tau)\,d\tau+ \int^t_0 u(\tau)\,dW(\tau)+ K(t)\) with probability 1 for each \(t\in\mathbb{R}_+\), where the integral with respect to \(dW(\tau)\) is an Itô integral. The author proves that if \(f\) and \(g\) are measurable and bounded, then for every domain \(D\subset\mathbb{R}^d\) satisfying certain conditions and every \(x_0\in\overline D\) equation (1) has a weak solution in \(D\) with reflection at the boundary.