Pathwise uniqueness and non-explosion property of Skorohod SDEs with a class of non-Lipschitz coefficients and non-smooth domains

DOI10.1007/S10959-020-01036-7MaRDI QIDQ2664536zbMATH OpenOpenAlexFDO

Authors Masanori Hino, Kouhei Matsuura, Misaki Yonezawa

Publication date 17 November 2021

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.08435

zbMATH Keywords

non-explosion propertynon-Lipschitz coefficientpathwise uniquenessSkorohod SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Here we study stochastic differential equations with a reflecting boundary condition. We provide sufficient conditions for pathwise uniqueness and non-explosion property of solutions in a framework admitting non-Lipschitz continuous coefficients and non-smooth domains.

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Cited in

(9)

• A class of stochastic differential equations with non-Lipschitzian coefficients: Pathwise uniqueness and no explosion
• Pathwise uniqueness for reflecting Brownian motion in Euclidean domains
• Strong comparison result for a class of reflected stochastic differential equations with non-Lipschitzian coefficients
• Stochastic and partial differential equations on non-smooth time-dependent domains
• Analytic theory of Itô-stochastic differential equations with non-smooth coefficients
• Exponential ergodicity for singular reflecting McKean-Vlasov SDEs
• Distribution dependent reflecting stochastic differential equations
• On the pathwise uniqueness of solutions of one-dimensional reflected stochastic differential equations with jumps
• Well-posedness of stochastic variational inequalities with discontinuous drifts

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