From Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study

arXiv2009.03643MaRDI QIDQ6348668FDOQ6348668

Authors: Yunwen Wang, Jinfeng Li 

Publication date: 8 September 2020

Abstract: This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is further conducted on the existence of solutions for a few particular kinds of stochastic differential equations with a reflected boundary. It is proved that the multidimensional version of the Skorohod equation can be solved under the assumption of a convex domain (D).

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