Multidimensional SDE with anticipating initial process and reflection

MaRDI QIDQ6205369zbMATH OpenFDO

Authors Zongxia Liang

Publication date 20 April 2007

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Boundary theory for Markov processes (60J50) Local time and additive functionals (60J55) Diffusion processes (60J60)

Abstract: In this paper, the strong solutions $(X,L)$ of multidimensional stochastic differential equations with reflecting boundary and possible anticipating initial random variables is established. The key is to obtain some substitution formula for Stratonovich integrals via a uniform convergence of the corresponding Riemann sums and to prove continuity of functionals of $(X,L)$.

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