On reflected Stratonovich stochastic differential equations

Leszek Słomiński

Stochastic Processes and their Applications, 2015, vol. 125, issue 2, 759-779

Abstract: We study the problem of existence, uniqueness and approximation of solutions of finite dimensional Stratonovich stochastic differential equations with reflecting boundary condition driven by semimartingales with jumps. As an application we generalize known results on the Wong–Zakai type approximations.

Keywords: Reflected stochastic differential equation; Stratonovich stochastic differential equation; Wong–Zakai type approximation (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:125:y:2015:i:2:p:759-779

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DOI: 10.1016/j.spa.2014.10.003

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