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On Stochastic Differential Equations with Reflecting Boundary Condition in Convex Domains
2004
Bulletin of the Polish Academy of Sciences Mathematics
Preserved Fulltext
Let D be an open convex set in R d and let F be a Lipschitz operator defined on the space of adapted càdlàg processes. We show that for any adapted process H and any semimartingale Z there exists a unique strong solution of the following stochastic differential equation (SDE) with reflection on the boundary of D: Our proofs are based on new a priori estimates for solutions of the deterministic Skorokhod problem. 2000 Mathematics Subject Classification: Primary 60H20.
doi:10.4064/ba52-4-11
fatcat:dzspxxysbngzrhuiysleb4udw4