On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary

Tu-Sheng Zhang

Stochastic Processes and their Applications, 1994, vol. 50, issue 1, 135-147

Abstract: In this paper, we directly prove the existence and uniqueness of a strong solution of the stochastic differential equations with reflecting boundary under the assumption of non-degenerate diffusion coefficient and measurable drift. Moreover, a Wong-Zakai type approximation theorem is obtained for the equations.

Keywords: local; time; comparison; theorem; Skorohod; problem (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (13)

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