SDEs with oblique reflection on nonsmooth domains (Q2365757)

The authors prove the strong existence and uniqueness of stochastic differential equations with reflecting boundary conditions in nonsmooth domains. Two cases are considered. In the first case the direction of reflection varies smoothly on a possibly nonsmooth boundary. In the second case the domain is the intersection of a finite number of domains with a relatively smooth boundary, and several directions of reflection at the corners are allowed. The approach is based on the Skorokhod problem. It is very important for the proof to have a family of regular functions associated with the given domain and directions of reflection.