Strong solutions to reflecting stochastic differential equations with singular drift

Saisai Yang and Tusheng Zhang

Stochastic Processes and their Applications, 2023, vol. 156, issue C, 126-155

Abstract: In this paper, we prove that there exists a unique strong solution to reflecting stochastic differential equations with merely measurable drift giving an affirmative answer to the longstanding problem. This is done through Zvonkin transformation and a careful analysis of the time-dependent transformed domains.

Keywords: Strong solution; Reflecting stochastic differential equations; Singular drift; Zvonkin transformation; Time-dependent domain (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spa.2022.11.005

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